%0 Journal Article %A Michael D. Bergmann %A C. Thomas Howard %T Estimating Asset Class Standard Deviations and Correlations %D 2003 %R 10.3905/jwm.2003.320485 %J The Journal of Wealth Management %P 11-18 %V 6 %N 3 %X 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. %U https://jwm.pm-research.com/content/iijwealthmgmt/6/3/11.full.pdf