ABSTRACT
It is clear that the accuracy of the mean-variance approach depends on the accurate values of the expected return rate and the covariance matrix. Several methods have been proposed to forecast the appropriate acceptable return rate and variance matrix such as the arithmetic mean method (Markowitz, 1952, 1959, and 1987) and the regression-based method (Elton and Gruber, 1995). However, these methods derive only the precise expected return rate and covariance matrix and do not consider the problem of uncertainty.
