Hello Wesley
Thank you for the detailed response - that was very helpful.
You are right - a number of researchers have pointed out shortcomings in the mean-variance theory when it comes to empirical results.
To my knowledge, David Swensen at Yale is one of the few practitioners who uses mean-variance optimization in the management of the Yale Endowment Fund with interesting results, based on which I was inspired to go down the same path.
The main issue with the tangency portfolio is that it is not a point estimate because the efficient frontier is unstable.
I use a simple average to adjust for this.
My two cents for the mean-variance camp.
Best wishes
Savio