For a simple application in finance, consider a portfolio with n stocks. Then finding various statistics around - expected portfolio mean & variance - optimi

For a simple application in finance, consider a portfolio with n stocks. Then finding various statistics around - expected portfolio mean & variance - optimizing mean-variance subject to a risk budget (following Markowitz portfolio theory), etc. would all entail operating on the n×n covariance matrix, which is typically dense. If your universe is the Russell 1000, S&P 500, etc, then n will be significantly larger than 250.