# portfolio optimization with uncertain returns

What is the usual method of dealing with many uncertain mean returns in portfolio optimization?

For example say you have a 3 asset portfolio with assets A, B and C. All the correlations and variances are the same.

You can't reject the null that the assets have the same mean return for (A and B) and (B and C), but you can reject the null for (A and C).

It seems there is no nonbiased way to choose the means?

I am not sure I understand the question. Isn't $E(r)$ is an unbiased estimator of $r$?