Definitions and results related to a notion of efficient frontier are discussed in Efficient Frontier.
Various approaches to portfolio optimization are outlined in Optimality Criteria. Also read extremely useful topic of Robust Optimization , which deals with frequently underestimated problem of parameter uncertainty.
The problem of estimating the model parameters (expected returns and covariances) plays the central role in portfolio analysis and optimization. Brief description of sample estimates is given in Sample Estimates for Means and Covariances, while more complicated techniques can be accessed through Advanced Estimates.