Olivier Ledoit
Universität Zürich
H-index: 26
Europe-Switzerland
Top articles of Olivier Ledoit
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
A novel estimator of Earth’s curvature (Allowing for inference as well) | Annals of Applied Statistics | David Richard Bell Olivier Ledoit Michael Wolf | 2024 |
Risk reduction and efficiency increase in large portfolios: Gross-exposure constraints and shrinkage of the covariance matrix | Journal of Financial Econometrics | Zhao Zhao Olivier Ledoit Hui Jiang | 2023/1/1 |
Large dynamic covariance matrices: Enhancements based on intraday data | Journal of Banking and Finance | Gianluca De Nard Robert Engle Olivier Ledoit Michael Wolf | 2022 |
The power of (non-) linear shrinking: A review and guide to covariance matrix estimation | Olivier Ledoit Michael Wolf | 2022/1/1 | |
Markowitz portfolios under transaction costs | Working paper series/Department of Economics | Olivier Ledoit Michael Wolf | 2022/10 |
Quadratic shrinkage for large covariance matrices | Bernoulli | Olivier Ledoit Michael Wolf | 2022 |
Shrinkage estimation of large covariance matrices: Keep it simple, statistician? | arXiv preprint arXiv:1809.08024 | Harry Gray Gwenaël GR Leday Catalina A Vallejos Sylvia Richardson | 2018/9/21 |
Factor models for portfolio selection in large dimensions: The good, the better and the ugly | Journal of Financial Econometrics | Gianluca De Nard Olivier Ledoit Michael Wolf | 2021/6/1 |
Analytical nonlinear shrinkage of large-dimensional covariance matrices | The Annals of Statistics | Olivier Ledoit Michael Wolf | 2020/10/1 |
Co-Authors
