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Details about Olivier Ledoit

Homepage:http://www.econ.uzh.ch/faculty/ledoit.html
Workplace:Institut für Volkswirtschaftslehre (Department of Economics), Wirtschaftswissenschaftliche Fakutät (Faculty of Economics), Universität Zürich (University of Zurich), (more information at EDIRC)

Access statistics for papers by Olivier Ledoit.

Last updated 2019-07-18. Update your information in the RePEc Author Service.

Short-id: ple718


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Working Papers

2020

  1. Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (1)
  2. Shrinkage estimation of large covariance matrices: keep it simple, statistician?
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  3. The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2019

  1. Quadratic shrinkage for large covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2018

  1. Analytical nonlinear shrinkage of large-dimensional covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (3)
  2. Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  3. Factor models for portfolio selection in large dimensions: the good, the better and the ugly
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  4. Robust performance hypothesis testing with smooth functions of population moments
    ECON - Working Papers, Department of Economics - University of Zurich Downloads

2017

  1. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (21)
    See also Journal Article in Journal of Business & Economic Statistics (2019)
  2. Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (3)
  3. Numerical implementation of the QuEST function
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2017)
  4. Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (2)

2013

  1. A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  2. Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2015)

2011

  1. Choice Democracy
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  2. Nonlinear shrinkage estimation of large-dimensional covariance matrices
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (2)
  3. The coexistence of commodity money and fiat money
    ECON - Working Papers, Department of Economics - University of Zurich Downloads
  4. The redistributive effects of monetary policy
    ECON - Working Papers, Department of Economics - University of Zurich Downloads View citations (8)

2010

  1. Central limit theorems when data are dependent: addressing the pedagogical gaps
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads
  2. Robust performance hypothesis testing with the variance
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads

2009

  1. Eigenvectors of some large sample covariance matrices ensembles
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads

2008

  1. Robust Performance Hypothesis Testing with the Sharpe Ratio
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich Downloads View citations (199)
    See also Journal Article in Journal of Empirical Finance (2008)

2003

  1. Honey, I Shrunk the Sample Covariance Matrix
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (8)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) Downloads View citations (7)

2002

  1. Relative Pricing of Options with Stochastic Volatility
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (17)

2001

  1. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) Downloads View citations (3)

    See also Journal Article in The Review of Economics and Statistics (2003)
  2. Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000) Downloads

    See also Journal Article in Journal of Empirical Finance (2003)
  3. Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (3)

2000

  1. A well conditioned estimator for large dimensional covariance matrices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
    See also Journal Article in Journal of Multivariate Analysis (2004)

1999

  1. Approximate Arbitrage
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (3)
  2. Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes
    Finance, University Library of Munich, Germany Downloads

1998

  1. Crashes at Critical Points
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads View citations (1)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2000)

Journal Articles

2019

  1. Large Dynamic Covariance Matrices
    Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 Downloads View citations (7)
    See also Working Paper (2017)

2017

  1. Numerical implementation of the QuEST function
    Computational Statistics & Data Analysis, 2017, 115, (C), 199-223 Downloads View citations (3)
    See also Working Paper (2017)

2015

  1. Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
    Journal of Multivariate Analysis, 2015, 139, (C), 360-384 Downloads View citations (21)
    See also Working Paper (2013)

2008

  1. Robust performance hypothesis testing with the Sharpe ratio
    Journal of Empirical Finance, 2008, 15, (5), 850-859 Downloads View citations (183)
    See also Working Paper (2008)

2004

  1. A well-conditioned estimator for large-dimensional covariance matrices
    Journal of Multivariate Analysis, 2004, 88, (2), 365-411 Downloads View citations (251)
    See also Working Paper (2000)

2003

  1. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
    The Review of Economics and Statistics, 2003, 85, (3), 735-747 Downloads View citations (97)
    See also Working Paper (2001)
  2. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
    Journal of Empirical Finance, 2003, 10, (5), 603-621 Downloads View citations (327)
    See also Working Paper (2001)

2000

  1. CRASHES AS CRITICAL POINTS
    International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (02), 219-255 Downloads View citations (28)
    See also Working Paper (1998)
  2. Gain, Loss, and Asset Pricing
    Journal of Political Economy, 2000, 108, (1), 144-172 Downloads View citations (47)

1996

  1. Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market
    Journal of Finance, 1996, 51, (2), 751-62 Downloads View citations (10)
 
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