Gerber Covariance Matrix

Compute the Gerber asset covariance matrix, from either:

• Asset returns
• Asset close-to-close prices, from which asset logarithmic returns are computed

References

• Gerber, S., B. Javid, H. Markowitz, P. Sargen, and D. Starer (2022). The gerber statistic: A robust co-movement measure for portfolio optimization. The Journal of Portfolio Management 48(2), 87–102