Turning Long and Short Return Histories into Equal Histories : A Better Way to Backfill Returns

Standard quantitative portfolio analysis techniques, including mean-variance analysis, historical risk and performance estimation, and various portfolio optimization techniques, implicitly require all assets under consideration having the same length of return histories. Unfortunately, it is often the case that certain assets have shorter return histories than others. We present a method, which is a significant improvement over an existing technique, for efficiently backfilling missing returns while accounting for non-normal distributions