Modified Gerber Covariance Matrix

Compute the modified Gerber asset covariance matrix, from either:

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

References

• Gerber, Sander and Ernst, Philip and Markowitz, Harry and Miao, Yinsen and Saini, Mrinal and Smyth, William and Cuttler, Jason and Sargen, Paul, The Modified Gerber Statistic: A Practical Nonparametric Covariance Estimator for Portfolio Construction (July 27, 2026)