Concepedia
Statistics
Publications
42
Citations
10K
H-Index
30
Active since
1996
Affiliations
University of Zurich(Current)
Capital University
University of California, Los Angeles
Anderson University - South Carolina
Universitat Pompeu Fabra
Olivier Ledoit is an author at University of Zurich specializing in statistics, business, and finance.
Top concepts
StatisticsBusinessFinanceAsset PricingEconomicsManagementStatistical InferenceEngineeringFinancial EconomicsPortfolio Management
Publications per year
1996–2022
A well-conditioned estimator for large-dimensional covariance matrices
Olivier Ledoit, Michael Wolf · Journal of Multivariate Analysis · 2003 · 2.8K citations
Well-conditioned Estimator, Engineering, High-dimensional Method +4
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
Portfolio Optimization, Covariance Matrix, Asset Pricing +10
Robust performance hypothesis testing with the Sharpe ratio
Olivier Ledoit, Michael Wolf · Journal of Empirical Finance · 2008 · 926 citations
Robust Statistic, Sharpe Ratio, Robustness Testing +3
CRASHES AS CRITICAL POINTS
Anders Johansen, Olivier Ledoit, Didier Sornette · International Journal of Theoretical and Applied Finance · 2000 · 528 citations
Noise Traders, Econophysics, Economics +11
Gain, Loss, and Asset Pricing
Antonio E. Bernardo, Olivier Ledoit · Journal of Political Economy · 2000 · 497 citations
Empirical Finance, Option Pricing, Black-scholes Model +12
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