Details about Olivier Ledoit

Access statistics for papers by Olivier Ledoit.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: ple718

Working Papers

2024

1. Markowitz portfolios under transaction costs
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)

2023

2. A novel estimator of earth's curvature (allowing for inference as well)
   ECON - Working Papers, Department of Economics - University of Zurich

2022

3. Large dynamic covariance matrices: enhancements based on intraday data
   ECON - Working Papers, Department of Economics - University of Zurich View citations (2)

2021

4. Shrinkage estimation of large covariance matrices: keep it simple, statistician?
   ECON - Working Papers, Department of Economics - University of Zurich

2020

5. Quadratic shrinkage for large covariance matrices
   ECON - Working Papers, Department of Economics - University of Zurich
6. Risk reduction and efficiency increase in large portfolios: leverage and shrinkage
   ECON - Working Papers, Department of Economics - University of Zurich View citations (7)
7. The power of (non-)linear shrinking: a review and guide to covariance matrix estimation
   ECON - Working Papers, Department of Economics - University of Zurich View citations (12)

2018

8. Analytical nonlinear shrinkage of large-dimensional covariance matrices
   ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
9. Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)
10. Factor models for portfolio selection in large dimensions: the good, the better and the ugly
    ECON - Working Papers, Department of Economics - University of Zurich View citations (6)
11. Robust performance hypothesis testing with smooth functions of population moments
    ECON - Working Papers, Department of Economics - University of Zurich View citations (3)

2017

12. Large dynamic covariance matrices
    ECON - Working Papers, Department of Economics - University of Zurich View citations (31)
    See also Journal Article Large Dynamic Covariance Matrices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (99) (2019)
13. Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
    ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
14. Numerical implementation of the QuEST function
    ECON - Working Papers, Department of Economics - University of Zurich View citations (16)
    See also Journal Article Numerical implementation of the QuEST function, Computational Statistics & Data Analysis, Elsevier (2017) View citations (15) (2017)
15. Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
    ECON - Working Papers, Department of Economics - University of Zurich View citations (2)

2015

16. Honey, I Shrunk the Sample Covariance Matrix
    Working Papers, Barcelona School of Economics View citations (13)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2003) View citations (12)

2013

17. 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
18. Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
    ECON - Working Papers, Department of Economics - University of Zurich View citations (3)
    See also Journal Article Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions, Journal of Multivariate Analysis, Elsevier (2015) View citations (58) (2015)

2011

19. Choice Democracy
    ECON - Working Papers, Department of Economics - University of Zurich
20. Nonlinear shrinkage estimation of large-dimensional covariance matrices
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (2)
21. The coexistence of commodity money and fiat money
    ECON - Working Papers, Department of Economics - University of Zurich
22. The redistributive effects of monetary policy
    ECON - Working Papers, Department of Economics - University of Zurich View citations (12)

2010

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

2009

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

2008

26. Robust Performance Hypothesis Testing with the Sharpe Ratio
    IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich View citations (417)
    See also Journal Article Robust performance hypothesis testing with the Sharpe ratio, Journal of Empirical Finance, Elsevier (2008) View citations (422) (2008)

2002

27. Relative Pricing of Options with Stochastic Volatility
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (23)

2001

28. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) View citations (2)
    See also Journal Article Flexible Multivariate GARCH Modeling with an Application to International Stock Markets, The Review of Economics and Statistics, MIT Press (2003) View citations (139) (2003)
29. 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 View citations (4)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2000)
    See also Journal Article Improved estimation of the covariance matrix of stock returns with an application to portfolio selection, Journal of Empirical Finance, Elsevier (2003) View citations (561) (2003)
30. 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 View citations (3)

2000

31. A well conditioned estimator for large dimensional covariance matrices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (4)
    See also Journal Article A well-conditioned estimator for large-dimensional covariance matrices, Journal of Multivariate Analysis, Elsevier (2004) View citations (485) (2004)

1999

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

1998

34. Crashes at Critical Points
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (2)
    See also Journal Article CRASHES AS CRITICAL POINTS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2000) View citations (206) (2000)

Journal Articles

2019

1. Large Dynamic Covariance Matrices
   Journal of Business & Economic Statistics, 2019, 37, (2), 363-375 View citations (99)
   See also Working Paper Large dynamic covariance matrices, ECON - Working Papers (2017) View citations (31) (2017)

2017

2. Numerical implementation of the QuEST function
   Computational Statistics & Data Analysis, 2017, 115, (C), 199-223 View citations (15)
   See also Working Paper Numerical implementation of the QuEST function, ECON - Working Papers (2017) View citations (16) (2017)

2015

3. Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions
   Journal of Multivariate Analysis, 2015, 139, (C), 360-384 View citations (58)
   See also Working Paper Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions, ECON - Working Papers (2013) View citations (3) (2013)

2008

4. Robust performance hypothesis testing with the Sharpe ratio
   Journal of Empirical Finance, 2008, 15, (5), 850-859 View citations (422)
   See also Working Paper Robust Performance Hypothesis Testing with the Sharpe Ratio, IEW - Working Papers (2008) View citations (417) (2008)

2004

5. A well-conditioned estimator for large-dimensional covariance matrices
   Journal of Multivariate Analysis, 2004, 88, (2), 365-411 View citations (485)
   See also Working Paper A well conditioned estimator for large dimensional covariance matrices, DES - Working Papers. Statistics and Econometrics. WS (2000) View citations (4) (2000)

2003

6. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
   The Review of Economics and Statistics, 2003, 85, (3), 735-747 View citations (139)
   See also Working Paper Flexible multivariate GARCH modeling with an application to international stock markets, Economics Working Papers (2001) View citations (5) (2001)
7. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
   Journal of Empirical Finance, 2003, 10, (5), 603-621 View citations (561)
   See also Working Paper Improved estimation of the covariance matrix of stock returns with an application to portofolio selection, Economics Working Papers (2001) View citations (4) (2001)

2000

8. CRASHES AS CRITICAL POINTS
   International Journal of Theoretical and Applied Finance (IJTAF), 2000, 03, (02), 219-255 View citations (206)
   See also Working Paper Crashes at Critical Points, University of California at Los Angeles, Anderson Graduate School of Management (1998) View citations (2) (1998)
9. Gain, Loss, and Asset Pricing
   Journal of Political Economy, 2000, 108, (1), 144-172 View citations (147)

1996

10. Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market
    Journal of Finance, 1996, 51, (2), 751-62 View citations (26)