Abstract: Offering the useful and scientific investment advices is the central motive of modern theory of finance,which had already been achieved for the short-term investors.But for most investors they who the long horizons,the evidence of time-variation in expected returns is still among the more intriguing empirical findings in finance.The paper analyses the parameter uncertainty's effect on the investor's optimal portfolio choice,it suggests if the investor ignores the estimation risk,he may by lead to take position in too large stocks are.

Key words: portfolio choice, parameter uncertainty, bayesian theory, myopic, horizon effect