Before revision:  Although it requires only one input, namely the covariance matrix of asset returns, estimating the optimal solution remains a challenge. In the presence of high-dimensionality in the data, the sample estimator becomes ill-conditioned , which negates the positive effect of diversification in an out-of-sample setting .
After revision:  Although it requires only one input, namely the covariance matrix of returns. For high-dimensional data, however, it is well-known that the sample covariance matrix is ill-conditioned , which negates the positive effect of diversification in an out-of-sample setting .