Samclem, that was certainly the reason Bernstein now advocates people putting the principal for essential expenses into something safe, and only invest the left-over in the market. That portfolio is far from the Efficient Frontier.
However, back to the problem with MOV method by Markowitz, in my opinion, is that it tries to build an elaborate formal Gaussian model from skimpy back data, then runs an optimizer on this delicate model that is highly susceptible to spurious data points. In the end, you would want to take an MOV-derived portfolio back to a historical simulation to see how it would work. On the other hand, an optimizer based directly on a historical simulation is its own back-tester. It is a lot simpler to understand than the elaborate math behind MOV, which may be equivalent to curve-fitting a 12 degree polynomial to 10 data points.
Of course, anytime you base a future prediction on past data, you are betting that history will at least rhyme, if it does not exactly repeat, to borrow from Mark Twain.
And by the way, I used a lot of engineering optimal theories and methods in my career, but I dealt with inanimate objects that generate very true-to-theory Gaussian noise. I can also collect many hours of data from sensors that have sampling rates in the hundred to kilo samples per second to build error models. That's millions of samples, and then we also need to collect data at different temperatures, sensor orientations, etc... Sometimes there are still unknown variations that are called turn-on-to-turn-on random errors that we could not identify the cause.
It's a far cry from the 142 years of stock market data, which constantly evolves with historical and political events.
"Old age is the most unexpected of all things that can happen to a man" -- Leo Tolstoy