I will look into this issue and many thanks to Eric for your great advice...

2011/9/20 Eric Zivot <ezivot@u.washington.edu>

> I would look at the package monomvn: Estimation for multivariate normal and
> Student-t data with monotone missingness. Professor Gramacy gave a very
> nice
> presentation at the recent R/Finance 2011 conference:
> http://www.rinfinance.com/agenda/2011/RobertGramacy.pdf
>
>
>
> -----Original Message-----
> From: r-sig-finance-bounces@r-project.org
> [mailto:r-sig-finance-bounces@r-project.org] On Behalf Of ShyhWeir Tzang
> Sent: Monday, September 19, 2011 12:27 AM
> To: r-sig-finance@stat.math.ethz.ch
> Subject: [R-SIG-Finance] missing data in return series...
>
> Dear all:
>
> I have a portfolio of about 50 stocks of which about 10~15 stocks with
> unequal lengths. That means they have shorter historical return series than
> others. How may I estimate the covariance matrix and mean of the stocks? Is
> the Stambaugh (1997) ("Analyzing investments whose histories differ in
> length") method still valid for individual stocks instead of funds? Is
> there
> any better way or more efficient way to estimate their mean and covariance
> matrix? Any help or suggestion is highly appreciated.
>
> --
>
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>


-- 
Shyh-Weir Tzang
Finance Department
Asia University
Tel: 04-2332-3456#48055
Mobile: 0929125845/0973830823

臧仕維
亞洲大學財務金融系
電話：04-2332-3456#48055
手機：0929125845/0973830823
41354台中霧峰柳豐路500號

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