In spite of several efforts by researchers to overcome the estimation-risk problem (the use of estimate inputs based on sample information as if they were representative of the true population) which produces the so-called “wacky weights”, DeMiguel, Garlappi and Uppal (2009) present striking evidence that favors a simple 1/N naıve portfolio strategy. Are asset allocation models that use “diagonal” elements of the inverse covariance matrix superior to those using the “full” matrix, in addressing the “wacky weights” problem?