A Portfolio Approach to Estimating the Average Correlation Coefficient for the Constant Correlation Model
提出一种投资组合方法，用于估计一组股票的平均相关系数，该方法无需估计两两相关系数，且能比个体两两相关更好地预测未来相关矩阵。
ABSTRACT This paper presents a portfolio approach to estimating the average correlation coefficient of a group of stocks which are considered for portfolio analysis. The average correlation coefficient has been shown to produce a better estimate of the future correlation matrix than individual pairwise correlations. The advantage of the approach described here is that it does not require the estimation of pairwise correlations for estimating their average.