Concepedia
Statistics
Publications
41
Citations
9.4K
H-Index
29
Active since
1996
Affiliations
University of Zurich(Current)
University of California, Los Angeles
Capital University
Universitat Pompeu Fabra
New York University
Olivier Ledoit is an author at University of Zurich specializing in finance, business, and covariance matrix estimation.
Publications per year
1996–2022
A well-conditioned estimator for large-dimensional covariance matrices
Olivier Ledoit, Michael Wolf · Journal of Multivariate Analysis · 2003 · 2.9K citations · Full text
Computing, Computer Science, Time Series Analysis +8
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Olivier Ledoit, Michael Wolf · Journal of Empirical Finance · 2003 · 1.7K citations
Business, Finance, Financial Management +17
CRASHES AS CRITICAL POINTS
Anders Johansen, Olivier Ledoit, Didier Sornette · International Journal of Theoretical and Applied Finance · 2000 · 533 citations
Social Sciences, Economics, Finance +15
Gain, Loss, and Asset Pricing
Antonio E. Bernardo, Olivier Ledoit · Journal of Political Economy · 2000 · 500 citations
Business, Economics, Finance +16
Nonlinear shrinkage estimation of large-dimensional covariance matrices
Olivier Ledoit, Michael Wolf · The Annals of Statistics · 2012 · 453 citations · Full text
Computing, Computer Science, Machine Learning +11
1–5 of 41