Olivier Ledoit

University of Zurich - Department of Economics

Wilfriedstrasse 6

Zürich, 8032

Switzerland

  • University of Zurich - Department of Economics

SCHOLARLY PAPERS

26

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Scholarly Papers (26)

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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 2,534 (5,195)
Citation 108

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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 1,462 (12,867)
Citation 34

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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 765 (33,458)
Citation 20

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Large-dimensional asymptotics, Markowitz portfolio selection, nonlinear shrinkage

4.

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

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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 645 (41,561)
Citation 27

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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 510 (57,057)
Citation 3

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

6.

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 469 (63,342)
Citation 8

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

7.

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 469 (63,342)
Citation 13

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

8.

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 431 (70,133)
Citation 1

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

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 286 (111,697)
Citation 20

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Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

10.

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 283 (113,342)
Citation 8

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

11.

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 280 (114,236)
Citation 10

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

12.

The Redistributive Effects of Monetary Policy

Downloads 279 (114,693)
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 150 (205,538)
Citation 1

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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 129 (232,203)
Citation 8

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

13.

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 250 (128,593)
Citation 8

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

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 116 (250,535)
Citation 1

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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 102 (274,133)
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 99 (279,809)
Citation 5

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Bootstrap, HAC inference, Variance

17.

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 94 (289,290)
Citation 1

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

18.

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 84 (310,453)
Citation 2

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

19.

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 68 (350,353)

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Democracy, choice, polyarchy, stability, competition, effciency

20.

Quadratic Shrinkage for Large Covariance Matrices

University of Zurich, Departmenf of Economics, Working Paper No. 335
Number of pages: 60 Posted: 25 Nov 2019
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 47 (417,165)

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

21.

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 (Formerly Tongi Medical University)
Downloads 46 (420,977)

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

22.

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: 49 Posted: 17 Jul 2019 Last Revised: 20 Feb 2020
Olivier Ledoit and Michael Wolf
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 34 (470,150)

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large-dimensional asymptotics, random matrix theory, rotation equivariance

23.

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 30 (489,318)

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

24.

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 19 (552,586)
Citation 6

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

25.

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

26.

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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