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The main purpose of this study is the determination of the optimal length ofthe historical data for the estimation of statistical parameters in MarkowitzPortfolio Optimization. We present a trading simulation using Markowitz method,for a portfolio consisting of foreign currency exchange rates and selectedassets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. Inthe simulation, the expected returns and the covariance matrix are computedfrom historical data observed for past n days and the target returns are chosenas multiples of the return of the market index. The trading strategy is to buya stock if the simulation resulted in a feasible solution and sell the stockafter exactly m days, independently from the market conditions. The actualreturns are computed for n and m being equal to 21, 42, 63, 84 and 105 days andwe have seen that the best return is obtained when the observation period is 2or 3 times the investment period.

Determination the Parameters of Markowitz Portfolio Optimization Model