Ford,
Thank you for a great article.
The data are very sensitive to the starting date, which is deeply problematic for mean-variance optimization. If we are to build portfolios for long-term risk/return, what is the proper starting point? Paul Kaplan of Morningstar has warned about the pitfalls of blindly extrapolating data from an optimizer.

I manage individual portfolios in the U.S. and I have a high weighting in U.S. equities. Your data suggest that this is a rational approach, and is not "home-country bias."

Moreover, U.S. clients have greater knowledge of the U.S. economy and U.S. capital markets. This gives clients greater conviction in U.S. stocks, and greater risk tolerance during downturns: Clients who have conviction in a strategy are less likely to "bail out at the bottom" of the equity cycle.

How do you address int'l equity weightings in your client portfolios? What is your basis for expected returns, risk, and volatility? And given the problems inherent in mean-variance optimization, how do you communicate the benefits of int'l diversification to clients?

Thanks again for your research.

Sincerely,
Rob