TY - JOUR T1 - Estimating Asset Class Standard Deviations and Correlations JF - The Journal of Wealth Management SP - 11 LP - 18 DO - 10.3905/jwm.2003.320485 VL - 6 IS - 3 AU - Michael D. Bergmann AU - C. Thomas Howard Y1 - 2003/10/31 UR - https://pm-research.com/content/6/3/11.abstract N2 - 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. ER -