Markowitz agreed to become the informal supervisor of Sharpe's UCLA Ph.D. thesis. Despite Markowitz's sense that his work was a "closed logical piece," there was one issue that he had broached but not fully pursued. His full version of portfolio selection required getting securities analysts to estimate the correlation of every pair of securities among which selection was to be made. The number of such correlations increased rapidly with the number of securities being analyzed. Selection among 1,000 securities, for example, would require estimation of 499,500 correlations (Baumol 1966, pp. 98-99).

Donald MacKenzie, An Engine, Not a Camera, loc. 229