I have constructed an adjusted Mean-Variance portfolio optimization method that optimizes the exposure in a set of X assets.
The portfolio works perfectly fine during normal periods (even when there are negative returns).
The problem is that I am using 2 years of data to construct the portfolio. If a crisis happens (e.g. during 2007-2009), then this affects my weights 2 years later.
Are there any known methods or techniques that I can think of to protect against such movements?