This study documents the transitory nature of "efficient" weights in six commonly employed asset classes, going beyond a simple stock and bond classes and using a 30 year data window. We review the literature on asset class diversification, including its failures during the recent credit crisis. Results show that asset class diversification benefits are inconsistent and, contrary to common academic wisdom before recent times, historical asset class covariances (even estimated with decades of data) are poor estimates of future values.
Maher, Matthew; White, Harry; and Fry, Phil. (2011). "Empirical Problems Using the Efficient Frontier to Find Optimal Weights in Asset Classes". Journal of Accounting and Finance, 11(4), 47-62.