Apologies if this is an overly simple question. I have a series of stock returns, and I would like to estimate my portfolio's ex-ante tracking error versus the benchmark (S&P 500) given the current relative weights and historical returns. However, for many of the stocks there are very few returns (<36 weeks).
What is the industry standard for dealing with mismatching data when estimating portfolio volatility or tracking error? Is it commonly accepted practice to use a shrinkage estimator (as in Ledoit and Wolf) on a covariance matrix estimated using all available data points?
I have 180 weekly returns for the vast majority of the stocks. But, the portfolio's largest relative positions are in stocks that have very little data (FB, LNKD, GRPN).