I was revising my stuff about portfolio theory and I noticed that every single time, expected return and corresponding variance or covariance are given! (not calculating ourselves). So I'm just wondering if there is a way to figure out those values statistically. I think, forecasting using autoregressive model or ARIMA is plausible, however, it seems to be very difficult and not useful when we decide to choose a portfolio for a long term investment.
It will be very thankful if somebody recommends me related textbook or leaves a brief answer.