Hi,

I'm running a Markowitz Optimization using an EWMA correlation forecast and
weekly data to find the minimum variance portfolios, updated every week, for
a basket of currencies.  I'm finding that the performance is somewhat
wanting, but when I remove currencies with significant positive
autocorrelation over the sample, the performance over the same sample
improves substantially (I know, my description is somewhat vague and this is
also cheating).  However, I believe this is due to autocorrelation violating
assumptions in the Markowitz Optimization framework, and I'm wondering if
anyone could point me towards the best ways to get around this problem that
don't involve looking at the autocorrelation over a sample and then removing
the currency from the optimization for the same sample.

Thanks,
Alex

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