# Mean estimate in portfolio optimization (Markowitz) [duplicate]

The Markowitz mean-variance portfolio optimization problem is to find the optimal allocation, $$w_{optimal}$$ by solving:

$$$$w = \mathrm{argmax} \ \mu_{t}^Tw - \frac{\gamma}{2}w^{T}\Sigma_{t}w$$$$

where $$\mu_t$$ and $$\Sigma_t$$ are the conditional expected value and conditional variance respectively at time t. $$\gamma$$ is the risk aversion parameter.

So, doing this in practice, one has to get an estimate of $$\mu$$. The most naive solution is to use the mean of previous returns. Can anyone provide what other standard methods that are available?