Abstract: The present invention relates to a portfolio evaluation and optimization in the presence of estimation errors. The method for optimizing a portfolio with several financial instruments, comprises steps of: selecting constraints and optimality criteria for the portfolio; obtaining historical information for financial risk factors and selecting an appropriate model for simulating the risk factors of the portfolio by way of a generalized elliptical distribution. Similarly, the method for evaluating a portfolio with several financial instruments, comprises steps of: selecting evaluation criteria for the portfolio; obtaining historical information for financial risk factors and selecting an appropriate model for simulating the risk factors of the portfolio by way of a generalized elliptical distribution. The model selection is based on historical information. According to the present invention both estimation risk and market risk are considered by simulation.