Muhammad Jaffar Sadiq AbdullahNorizarina Ishak2024-05-282024-05-28201921/2/20201943-023Xhttps://jardcs.org/archivesview.php?volume=1&issue=33https://oarep.usim.edu.my/handle/123456789/5481Vol. 11, Special Issue-12The aim of this paper is to examine the best portfolio diversification strategy in three subperiods which are during the global financial crisis (GFC), post-global financial crisis and during the non-crisis period. Two types of diversification strategies are used and compared which are Markowitz’s mean-variance approach and naïve diversification. From past studies, many pieces of evidence have shown that naïve diversification strategy sometimes performed better or not as compared to the mean-variance framework. Therefore, in this study, we incorporate ten securities from five different industries to minimize the risk portfolio. We found that during the non-crisis period, the portfolio is not well diversified. Then, we construct ten efficient portfolios from the mean-variance approach. We choose and com-pare the optimal portfolio selected based on the risk-averse preference with the naïve portfolio. Performance wise that optimal portfolio dominated the naïve strategy throughout the three subperiods tested. All the optimal portfolios selected are yielding more return com-pared to the equal weight portfolio.en-USnaïve diversification, mean-variance, Sharpe ratio, efficient frontier, portfolio optimization.Article1261361112