PT  - JOURNAL ARTICLE
AU  - Michael D. Bergmann
AU  - C. Thomas Howard
TI  - Estimating Asset Class Standard Deviations and Correlations
AID  - 10.3905/jwm.2003.320485
DP  - 2003 Oct 31
TA  - The Journal of Wealth Management
PG  - 11--18
VI  - 6
IP  - 3
4099  - https://pm-research.com/content/6/3/11.short
4100  - https://pm-research.com/content/6/3/11.full
AB  - The authors present a robust method for estimating the asset class covariance matrix for use in a mean variance optimizer. The article is based on the work of Ledoit [1997] who proposes a technique for combining the sample covariance matrix with the single index covariance matrix to yield an estimate that has a lower out of sample standard error than does either of the two inputs when used alone. Using data from 1990 through 2001, the authors apply this methodology, with a few of additional modifications, to the AMG Guaranty Trust N.A. universe and present covariance, correlation, and standard deviation estimates.