This research paper explores the impact of parameter uncertainty on the Markowitz asset allocation framework, particularly focusing on how errors in estimating parameters affect strategy performance during out-of-sample evaluations. The study highlights the importance of addressing uncertainty in the Markowitz framework, challenging the notion that longer sample periods always lead to better outcomes. Key findings include the effectiveness of imposing short-sale constraints and the resilience of basic asset allocation approaches, such as equally weighted allocation. Methodologically, the research employs rigorous out-of-sample evaluation, emphasizing the practical implications of parameter uncertainty on asset allocation outcomes. The study contributes to enhancing real-world investment decisions by providing insights into alternative allocation strategies and their performance in both anticipated and real-world out-of-sample events. The paper concludes by discussing the limitations and challenges faced, offering substantial value in advancing the field of asset allocation.This research paper explores the impact of parameter uncertainty on the Markowitz asset allocation framework, particularly focusing on how errors in estimating parameters affect strategy performance during out-of-sample evaluations. The study highlights the importance of addressing uncertainty in the Markowitz framework, challenging the notion that longer sample periods always lead to better outcomes. Key findings include the effectiveness of imposing short-sale constraints and the resilience of basic asset allocation approaches, such as equally weighted allocation. Methodologically, the research employs rigorous out-of-sample evaluation, emphasizing the practical implications of parameter uncertainty on asset allocation outcomes. The study contributes to enhancing real-world investment decisions by providing insights into alternative allocation strategies and their performance in both anticipated and real-world out-of-sample events. The paper concludes by discussing the limitations and challenges faced, offering substantial value in advancing the field of asset allocation.