Olivier Ledoit

University of Zurich - Department of Economics

Wilfriedstrasse 6

Zürich, 8032

Switzerland

SCHOLARLY PAPERS

25

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8,788

CITATIONS
Rank 925

SSRN RANKINGS

Top 925

in Total Papers Citations

381

Scholarly Papers (25)

1.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,460 (4,994)
Citation 166

Abstract:

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Covariance matrix, Markovitz optimization, shrinkage, tracking error

2.

Relative Pricing of Options with Stochastic Volatility

University of California-Los Angeles Finance Working Paper 9-98
Number of pages: 11 Posted: 01 Sep 1998
Olivier Ledoit and Pedro Santa-Clara
University of Zurich - Department of Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,449 (12,056)
Citation 38

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3.

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

University of Zurich, Department of Economics, Working Paper No. 137
Number of pages: 70 Posted: 24 Jan 2014 Last Revised: 09 Feb 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 732 (33,141)
Citation 17

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Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

UPF, Economics and Business Working Paper No. 578
Number of pages: 33 Posted: 15 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics
Downloads 638 (39,272)
Citation 58

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Review of Economics and Statistics, Forthcoming
Posted: 19 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

5.

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

University of Zurich, Department of Economics, Working Paper No. 238, Revised version
Number of pages: 52 Posted: 08 Dec 2016 Last Revised: 27 May 2018
Olivier Ledoit, Michael Wolf and Zhao Zhao
University of Zurich - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology - Department of Economics
Downloads 474 (58,468)
Citation 2

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Cross-section of returns, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

6.

Large Dynamic Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 231, Revised version
Number of pages: 43 Posted: 28 Jul 2016 Last Revised: 20 Apr 2017
Robert F. Engle, Olivier Ledoit and Michael Wolf
New York University - Leonard N. Stern School of Business - Department of Economics, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 444 (63,341)
Citation 19

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Composite likelihood, dynamic conditional correlations, GARCH, Markowitz portfolio selection, nonlinear shrinkage

7.

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

Number of pages: 32 Posted: 10 Sep 2004 Last Revised: 18 Aug 2009
Timothy Falcon Crack and Olivier Ledoit
University of Otago - Department of Accountancy and Finance and University of Zurich - Department of Economics
Downloads 422 (67,328)
Citation 1

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Central Limit Theorem, Dependent Data, Gaussian AR(1), Monte-Carlo, Asymptotic Distributions

8.

Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 264, Revised version
Number of pages: 56 Posted: 04 Oct 2017 Last Revised: 12 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 370 (78,654)
Citation 135

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Kernel estimation, Hilbert transform, large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

9.

Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Institute for Empirical Research in Economics University of Zurich Working Paper No. 515
Number of pages: 49 Posted: 20 Oct 2010 Last Revised: 09 Jan 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 278 (108,025)
Citation 29

Abstract:

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Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

10.

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

University of Zurich, Department of Economics, Working Paper No. 122, Revised version
Number of pages: 64 Posted: 15 May 2013 Last Revised: 23 Mar 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 266 (113,151)
Citation 6

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Large-dimensional asymptotics, nonlinear shrinkage estimation, random matrix theory, rotation equivariance, Stein's loss

11.
Downloads 251 (120,217)
Citation 5

The Redistributive Effects of Monetary Policy

Number of pages: 49 Posted: 22 Mar 2017 Last Revised: 10 Dec 2017
Daniel Andrei, Bernard Herskovic and Olivier Ledoit
McGill University, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Zurich - Department of Economics
Downloads 130 (217,456)
Citation 1

Abstract:

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Monetary policy, redistribution, networks

The Redistributive Effects of Monetary Policy

University of Zurich Department of Economics Working Paper No. 44
Number of pages: 24 Posted: 12 Nov 2011
Olivier Ledoit
University of Zurich - Department of Economics
Downloads 121 (229,770)
Citation 9

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Money, redistribution, policy, central bank, social network, topology

12.

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

Number of pages: 41 Posted: 10 Jan 2013 Last Revised: 30 Jul 2013
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 241 (125,252)
Citation 12

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large-dimensional asymptotics, covariance matrix eigenvalues, nonlinear shrinkage, principal component analysis

13.

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

University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 21 Dec 2018
Gianluca De Nard, Olivier Ledoit and Michael Wolf
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 216 (139,472)
Citation 1

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Dynamic conditional correlations, factor models, multivariate GARCH, Markowitz portfolio selection, nonlinear shrinkage

14.

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

Number of pages: 27 Posted: 12 Jun 2012 Last Revised: 10 Dec 2013
David R. Bell, Olivier Ledoit and Michael Wolf
University of Pennsylvania - Marketing Department, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 114 (239,033)
Citation 2

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Customer satisfaction, financial performance, long-short portfolio, mispricing

15.

The Coexistence of Commodity Money and Fiat Money

Number of pages: 12 Posted: 05 Oct 2011
Olivier Ledoit and Sébastien Lotz
University of Zurich - Department of Economics and CNRS-University of Paris 2
Downloads 97 (267,162)
Citation 1

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Currency competition, commodity money, fiat money, gold, safe haven, search models

16.

Robust Performance Hypothesis Testing with the Variance

Institute for Empirical Research in Economics University of Zurich Working Paper No. 516
Number of pages: 11 Posted: 20 Oct 2010
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 96 (268,927)
Citation 13

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Bootstrap, HAC inference, Variance

17.

Eigenvectors of Some Large Sample Covariance Matrices Ensembles

Number of pages: 36 Posted: 05 Apr 2009
Olivier Ledoit and Sandrine Péché
University of Zurich - Department of Economics and affiliation not provided to SSRN
Downloads 80 (301,288)
Citation 4

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Asymptotic distribution, bias correction, eigenvectors and eigenvalues, principal component analysis, random matrix theory, sample covariance matrix, shrinkage estimator, Stieltjes transform

18.

Choice Democracy

University of Zurich Department of Economics Working Paper No. 38
Number of pages: 29 Posted: 24 Nov 2011
Olivier Ledoit
University of Zurich - Department of Economics
Downloads 64 (341,031)

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Democracy, choice, polyarchy, stability, competition, effciency

19.

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

University of Zurich, Department of Economics, Working Paper No. 323 (2019)
Number of pages: 42 Posted: 01 Jun 2019
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 47 (393,633)

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dynamic conditional correlations, factor models, large-dimensional asymptotics, Markowitz portfolio selection, rotation equivariance

20.

Robust Performance Hypothesis Testing with Smooth Functions of Population Moments

University of Zurich, Department of Economics, Working Paper No. 305
Number of pages: 23 Posted: 15 Nov 2018
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 25 (486,957)

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Bootstrap, HAC Inference, Kurtosis, Sharpe Ratio, Sknewness, Variance

21.

Numerical Implementation of the QuEST Function

University of Zurich, Department of Economics, Working Paper No. 215, Revised version
Number of pages: 43 Posted: 25 Jul 2017 Last Revised: 01 Aug 2017
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 16 (538,172)
Citation 3

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Large-dimensional asymptotics, numerical optimization, random matrix theory, spectrum estimation

22.

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

University of Zurich, Department of Economics, Working Paper No. 328, 2019
Number of pages: 33 Posted: 18 Jul 2019
Zhao Zhao, Olivier Ledoit and Hui Jiang
Huazhong University of Science and Technology - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology (Formerly Tongi Medical University)
Downloads 4 (612,967)

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DCC, nonlinear shrinkage, leverage constraints, large portfolios, risk reduction, Markowitz mean-variance efficiency, multivariate GARCH

23.

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

University of Zurich, Department of Economics, Working Paper No. 327
Number of pages: 48 Posted: 17 Jul 2019
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 4 (620,926)

Abstract:

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large-dimensional asymptotics, random matrix theory, rotation equivariance

24.

Some Hypothesis Tests for the Covariance Matrix When the Dimension is Large Compared to the Sample Size

The Annals of Statistics, Vol. 30, No. 4, August 2002
Posted: 23 Aug 2002
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics

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Concentration asymptotics, equality test, sphericity test

25.

Gain, Loss, and Asset Pricing

Journal of Political Economy, Vol. 108, No. 1, Feb. 2000
Posted: 19 Apr 2000
Antonio E. Bernardo and Olivier Ledoit
University of California, Los Angeles (UCLA) - Finance Area and University of Zurich - Department of Economics

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