I wanted to know if there are any mention of what is optimal lookback period i.e. how many days, weeks, months or years of return data I should consider for constructing sharpe optimal portfolio and what should be the hold period and when should the portfolio be rebalanced?
Ex. lets say if I have to make investments only for 1 month so for how many previous months returns should I take into consideration? And when should it be revised or rebalanced?