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Ledoit, Olivier
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1

Large dynamic covariance matrices: Enhancements based on in..:

De Nard, Gianluca ; Engle, Robert F. ; Ledoit, Olivier.
Journal of Banking & Finance.  138 (2022)  - p. 106426 , 2022
Link: https://doi.org/10.1016/..
 
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2

Risk Reduction and Efficiency Increase in Large Portfolios:..:

Zhao, Zhao ; Ledoit, Olivier ; Jiang, Hui
Journal of Financial Econometrics.  21 (2021)  1 - p. 73-105 , 2021
Link: https://doi.org/10.1093/..
 
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3

Shrinkage estimation of large covariance matrices: Keep it ..:

Ledoit, Olivier ; Wolf, Michael
Journal of Multivariate Analysis.  186 (2021)  - p. 104796 , 2021
Link: https://doi.org/10.1016/..
 
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4

The Power of (Non-)Linear Shrinking: A Review and Guide to ..:

Ledoit, Olivier ; Wolf, Michael
Journal of Financial Econometrics.  20 (2020)  1 - p. 187-218 , 2020
Link: https://doi.org/10.1093/..
 
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5

ANALYTICAL NONLINEAR SHRINKAGE OF LARGE-DIMENSIONAL COVARIA..:

Ledoit, Olivier ; Wolf, Michael
The Annals of Statistics.  48 (2020)  5 - p. 3043-3065 , 2020
Link: https://www.jstor.org/st..
 
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6

Factor Models for Portfolio Selection in Large Dimensions: ..:

De Nard, Gianluca ; Ledoit, Olivier ; Wolf, Michael
Journal of Financial Econometrics.  19 (2019)  2 - p. 236-257 , 2019
Link: https://doi.org/10.1093/..
 
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7

Optimal estimation of a large-dimensional covariance matrix..:

LEDOIT, OLIVIER ; WOLF, MICHAEL
Bernoulli.  24 (2018)  4B - p. 3791-3832 , 2018
Link: https://www.jstor.org/st..
 
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8

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

Ledoit, Olivier ; Wolf, Michael ; Zhao, Zhao
Journal of Financial Econometrics.  , 2018
Link: https://doi.org/10.1093/..
 
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9

Factor Models for Portfolio Selection in Large Dimensions: ..:

De Nard, Gianluca ; Ledoit, Olivier ; Wolf, Michael
Journal of Financial Econometrics (2021)andUniversity of Zurich, Department of Economics, Working Paper No. 290, Revised version.  , 2018
Link: https://ssrn.com/abstrac..
 
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10

Numerical implementation of the QuEST function:

Ledoit, Olivier ; Wolf, Michael
Computational Statistics & Data Analysis.  115 (2017)  - p. 199-223 , 2017
Link: https://doi.org/10.1016/..
 
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11

Large Dynamic Covariance Matrices:

Engle, Robert F. ; Ledoit, Olivier ; Wolf, Michael
Journal of Business & Economic Statistics.  37 (2017)  2 - p. 363-375 , 2017
Link: https://doi.org/10.1080/..
 
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12

Nonlinear Shrinkage of the Covariance Matrix for Portfolio ..:

Ledoit, Olivier ; Wolf, Michael
The Review of Financial Studies.  30 (2017)  12 - p. 4349-4388 , 2017
Link: https://doi.org/10.1093/..
 
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13

Nonlinear Shrinkage of the Covariance Matrix for Portfolio ..:

Ledoit, Olivier ; Wolf, Michael
The Review of Financial Studies.  30 (2017)  12 - p. 4349-4388 , 2017
Link: https://www.jstor.org/st..
 
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14

Spectrum estimation: A unified framework for covariance mat..:

Ledoit, Olivier ; Wolf, Michael
Journal of Multivariate Analysis.  139 (2015)  - p. 360-384 , 2015
Link: https://doi.org/10.1016/..
 
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15

A New Portfolio Formation Approach to Mispricing of Marketi..:

Bell, David R. ; Ledoit, Olivier ; Wolf, Michael
Customer Needs and Solutions.  1 (2014)  4 - p. 263-276 , 2014
Link: https://doi.org/10.1007/..
 
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