Olivier Ledoit

发表

A well-conditioned estimator for large-dimensional covariance matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2004 .

Eigenvectors of some large sample covariance matrix ensembles

S. Péché, Olivier Ledoit, 2009 .

Eigenvectors of some large sample covariance matrix ensembles

Olivier Ledoit, S. P'ech'e, 2009, 0911.3010.

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017 .

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Olivier Ledoit, Michael Wolf, Michael Wolf, 2003 .

Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size

Olivier Ledoit, Michael Wolf, Michael Wolf, 2002 .

Honey, I Shrunk the Sample Covariance Matrix

Olivier Ledoit, Michael Wolf, Michael Wolf, 2003 .

Essays on risk and return in the stock market

Olivier Ledoit, 1995 .

Robust Performance Hypothesis Testing with the Sharpe Ratio

Olivier Ledoit, Michael Wolf, Michael Wolf, 2007 .

Gain, Loss, and Asset Pricing

Olivier Ledoit, Antonio E. Bernardo, 2000, Journal of Political Economy.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2011, 1207.5322.

Relative Pricing of Options with Stochastic Volatility

Olivier Ledoit, P. Santa-clara, Pedro Santa-clara, 1998 .

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Olivier Ledoit, Michael Wolf, Gianluca De Nard, 2018, Journal of Financial Econometrics.

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Olivier Ledoit, Michael Wolf, Gianluca De Nard, 2018, Journal of Financial Econometrics.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Olivier Ledoit, Michael Wolf, 2011, 1207.5322.

CRASHES AS CRITICAL POINTS

Olivier Ledoit, France., U. California, 1998, cond-mat/9810071.

00 71 v 2 1 9 O ct 1 99 8 Crashes as Critical Points

D. Sornette, Olivier Ledoit, A. Johansen, 2000 .

Shrinkage Estimation of Large Covariance Matrices: Keep it Simple, Statistician?

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, J. Multivar. Anal..

Optimal Estimation of a Large-Dimensional Covariance Matrix Under Stein's Loss

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017, Bernoulli.

Honey, I Shrunk the Sample Covariance Matrix

Olivier Ledoit, Michael Wolf, 2003 .

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2011 .

Shrinkage Estimation of Large Covariance Matrices: Keep it Simple, Statistician?

Olivier Ledoit, Michael Wolf, 2020, Journal of Multivariate Analysis.

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation

Olivier Ledoit, Michael Wolf, 2020, Journal of Financial Econometrics.

Quadratic Shrinkage for Large Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, SSRN Electronic Journal.

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation

Olivier Ledoit, Michael Wolf, Michael Wolf, 2020, Journal of Financial Econometrics.

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators: an Application to Customer Satisfaction

Olivier Ledoit, Michael Wolf, D. Bell, 2013 .

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators: an Application to Customer Satisfaction

Olivier Ledoit, Michael Wolf, D. Bell, 2013, Customer Needs and Solutions.

Reexamining possible mispricing of customer satisfaction

Olivier Ledoit, Michael Wolf, D. Bell, 2012 .

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

Olivier Ledoit, Michael Wolf, Michael Wolf, 2017, The Annals of Statistics.

OP-JFIN180017 645..686

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2019 .

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2018, Journal of Financial Econometrics.

Beyond sorting: a more powerful test for cross-sectional anomalies

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2016 .

Risk Reduction and Efficiency Increase in Large Portfolios: Leverage and Shrinkage

Olivier Ledoit, Hui Jiang, Zhao Zhao, 2020, SSRN Electronic Journal.

Robust Performance Hypothesis Testing with the Variance

Olivier Ledoit, Michael Wolf, 2011 .

CRASHES AS CRITICAL POINTS

Olivier Ledoit, France., U. California, 1998, cond-mat/9810071.

Large Dynamic Covariance Matrices

Robert F. Engle, Michael Wolf, Olivier Ledoit, 2017 .

Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2013, J. Multivar. Anal..

Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix

Olivier Ledoit, Hui Jiang, Zhao Zhao, 2021, Journal of Financial Econometrics.

Robust Performance Hypothesis Testing with Smooth Functions of Population Moments

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2018 .

Central Limit Theorems When Data Are Dependent: Addressing the Pedagogical Gaps

Olivier Ledoit, T. Crack, 2009 .

Efficient Weighting : A More Powerful Test for Cross-Sectional Anomalies

Olivier Ledoit, Michael Wolf, Zhao Zhao, 2018 .

Numerical Implementation of the QuEST Function

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2016, Comput. Stat. Data Anal..

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators: an Application to Customer Satisfaction

Olivier Ledoit, Michael Wolf, David R. Bell, 2013 .

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

R. Engle, Olivier Ledoit, Michael Wolf, 2020, SSRN Electronic Journal.

The Redistributive Effects of Monetary Policy

Olivier Ledoit, D. Andrei, Bernard Herskovic, 2011 .

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Pedro Santa-Clara, Michael Wolf, Olivier Ledoit, 1999, Review of Economics and Statistics.

Financial Valuation and Risk Management Working Paper No . 664 Robust Performance Hypothesis Testing with the Variance Olivier Ledoit

Michael Wolf, Olivier Ledoit, Olivier Ledoit, 2010 .

Choice Democracy

Olivier Ledoit, 2011 .

The Redistributive Eects of Monetary Policy

Olivier Ledoit, 2011 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 833 Spectrum Estimation : A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions

Olivier Ledoit, Michael Wolf, Michael Wolf, 2013 .