Investment decision making is one of the most important tasks of financial managers, which have always been exposed to uncertainty over financial markets. So that measuring and managing risk are investors' main concerns to make profit from financial markets. The accuracy of the investment risk has a significant impact on the efficiency of the investment decisions. Therefore, many studies have been done in defining and calculating risk such as Markowitz theory. His researches have been the base of many other studies, and many researchers have proposed new approaches to risk calculation using basic Markowitz concepts. But in spite of all the benefits of the Markowitz based methods, none of them consider the predictability of the under studied systems in calculating risk. However, the predictability of a system is inversely related to its risk
