In my not very humble opinion, this adds another layer of risk and complication to the process. A better approach, and one that I have used successfully in my practice for years, is to use long-term data to structure a portfolio that makes sense, and then test the results with the optimizer. This can be emotionally painful and requires discipline. I can't honestly say that I enjoy selling winners to buy losers, and I get to explain it all too often to concerned clients. The terrible truth is that financial management remains an art much more than a science.
Forecasts are notoriously difficult and unreliable, and judgment is always required.
We must recognize that nothing works every day, quarter, or year. Discipline is difficult in the face of intense media speculation and hype, but discipline leads to acceptable long-term investment results. As long as the world economy continues to grow, patient investors will profit. For all its limitations, MPT offers one of the strongest tools available to the rational investor. The right to download and store or output the materials found in Investment Strategies for the 21st Century is granted for viewing use only, and materials may not be reproduced in any form without the express written permission of Frank Armstrong.