RT Journal Article SR Electronic T1 Estimating Asset Class Standard Deviations and Correlations JF The Journal of Wealth Management FD Institutional Investor Journals SP 11 OP 18 DO 10.3905/jwm.2003.320485 VO 6 IS 3 A1 Michael D. Bergmann A1 C. Thomas Howard YR 2003 UL https://pm-research.com/content/6/3/11.abstract 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.