Comment by fighterpilot

The problem with anything that isn't 1/n is the large estimator variance of the mean of asset returns. There's such little signal there that Markowitz et al invariably fit to mostly noise, which reduces diversification, increases transaction costs, among other problems.

A similar phenomenon occurs in ensemble methods in statistics. It's often better to equal weight many estimates than try to fit weights to them, since that fitting process introduces lots of variance.