Olivier Ledoit

University of Zurich - Department of Economics

Wilfriedstrasse 6

Zürich, 8032

Switzerland

  • University of Zurich - Department of Economics

SCHOLARLY PAPERS

27

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Scholarly Papers (27)

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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 3,050 (5,644)
Citation 126

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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 Nova School of Business and Economics
Downloads 1,520 (17,175)
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 1,136 (26,463)
Citation 24

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Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

4.

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 788 (44,228)
Citation 17

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

5.

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

Journal of Financial Econometrics (2020, forthcoming) and University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 14 Oct 2020
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 708 (51,007)
Citation 14

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

6.

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Downloads 655 ( 56,465)

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, Nova School of Business and Economics and University of Zurich - Department of Economics
Downloads 655 (55,742)
Citation 31

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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, Nova School of Business and Economics and University of Zurich - Department of Economics

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Diagonal-Vech model multivariate GARCH, unrestricted estimation

7.

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 639 (58,276)
Citation 4

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

8.

Large Dynamic Covariance Matrices: Enhancements Based on Intraday Data

University of Zurich, Department of Economics, Working Paper No. 356, Revised version
Number of pages: 41 Posted: 25 Sep 2020 Last Revised: 04 Feb 2022
Gianluca De Nard, Robert F. Engle, Olivier Ledoit and Michael Wolf
University of Zurich - Department of Banking and Finance, New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 580 (65,909)
Citation 14

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Dynamic conditional correlations, intraday data, Markowitz portfolio selection, multivariate GARCH, nonlinear shrinkage

9.

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 (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 567 (67,838)
Citation 17

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

10.

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

University of Zurich, Department of Economics, Working Paper No. 323, Revised version
Number of pages: 42 Posted: 01 Jun 2019 Last Revised: 04 Feb 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 459 (87,886)
Citation 2

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

11.

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 and University of Zurich - Department of Economics
Downloads 448 (90,322)
Citation 1

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

12.

The Redistributive Effects of Monetary Policy

Downloads 388 (106,727)
Citation 7

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 211 (199,088)
Citation 3

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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 177 (233,117)
Citation 9

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

13.

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 300 (141,155)
Citation 12

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

14.

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 300 (141,155)
Citation 35

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Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

15.

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 264 (160,785)
Citation 16

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

16.

Quadratic Shrinkage for Large Covariance Matrices

University of Zurich, Departmenf of Economics, Working Paper No. 335, Revised version
Number of pages: 74 Posted: 25 Nov 2019 Last Revised: 04 Dec 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 197 (212,213)
Citation 5

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Inverse shrinkage, Hilbert transform, large-dimensional asymptotics, signal amplitude, Stein shrinkage

17.

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

University of Zurich, Department of Economics, Working Paper No. 327, Revised Version
Number of pages: 54 Posted: 17 Jul 2019 Last Revised: 28 Jun 2021
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 159 (255,068)
Citation 1

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Large-dimensional asymptotics, random matrix theory, rotation equivariance

18.

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 126 (305,882)
Citation 1

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

19.

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

University of Zurich, Department of Economics, Working Paper No. 328, Revised version
Number of pages: 34 Posted: 18 Jul 2019 Last Revised: 25 Jan 2020
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
Downloads 124 (309,460)
Citation 3

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

20.

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 124 (309,460)
Citation 1

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

21.

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 112 (332,664)
Citation 13

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Bootstrap, HAC inference, Variance

22.

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 95 (370,739)
Citation 3

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

23.

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 73 (432,994)

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Democracy, choice, polyarchy, stability, competition, effciency

24.

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 38 (577,245)
Citation 1

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

25.

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 26 (649,801)
Citation 6

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

26.

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

27.

Gain, Loss, and Asset Pricing

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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