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Olivier Ledoit

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This is information that was supplied by Olivier Ledoit in registering through RePEc. If you are Olivier Ledoit , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Olivier
Middle Name:
Last Name: Ledoit
Suffix:

RePEc Short-ID: ple718

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.uzh.ch/faculty/ledoit.html
Postal Address:
Phone:

Affiliation

Institut für Volkswirtschaftslehre
Wirtschaftswissenschaftliche Fakutät
Universität Zürich
Location: Zürich, Switzerland
Homepage: http://www.econ.uzh.ch/
Email:
Phone: +41-1-634 22 05
Fax: +41-1-634 49 07
Postal: Blümlisalpstrasse 10, CH-8006 Zürich
Handle: RePEc:edi:seizhch (more details at EDIRC)

Works

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Working papers

  1. Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers, Department of Economics - University of Zurich 137, Department of Economics - University of Zurich.
  2. Olivier Ledoit & Michael Wolf, 2013. "Optimal estimation of a large-dimensional covariance matrix under Stein’s loss," ECON - Working Papers, Department of Economics - University of Zurich 122, Department of Economics - University of Zurich, revised Dec 2013.
  3. Olivier Ledoit & Michael Wolf, 2013. "Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions," ECON - Working Papers, Department of Economics - University of Zurich 105, Department of Economics - University of Zurich, revised Jul 2013.
  4. David R. Bell & Olivier Ledoit & Michael Wolf, 2012. "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers, Department of Economics - University of Zurich 079, Department of Economics - University of Zurich, revised Dec 2013.
  5. Olivier Ledoit, 2011. "Choice Democracy," ECON - Working Papers, Department of Economics - University of Zurich 038, Department of Economics - University of Zurich.
  6. Olivier Ledoit, 2011. "The redistributive effects of monetary policy," ECON - Working Papers, Department of Economics - University of Zurich 044, Department of Economics - University of Zurich.
  7. Olivier Ledoit & Sébastien Lotz, 2011. "The coexistence of commodity money and fiat money," ECON - Working Papers, Department of Economics - University of Zurich 024, Department of Economics - University of Zurich.
  8. Olivier Ledoit & Michael Wolf, 2010. "Nonlinear shrinkage estimation of large-dimensional covariance matrices," IEW - Working Papers 515, Institute for Empirical Research in Economics - University of Zurich, revised Dec 2011.
  9. Olivier Ledoit & Michael Wolf, 2010. "Robust performance hypothesis testing with the variance," IEW - Working Papers 516, Institute for Empirical Research in Economics - University of Zurich.
  10. Timothy Falcon Crack & Olivier Ledoit, 2010. "Central limit theorems when data are dependent: addressing the pedagogical gaps," IEW - Working Papers 480, Institute for Empirical Research in Economics - University of Zurich.
  11. Olivier Ledoit & Sandrine Péché, 2009. "Eigenvectors of some large sample covariance matrices ensembles," IEW - Working Papers 407, Institute for Empirical Research in Economics - University of Zurich.
  12. Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
  13. Olivier Ledoit & Michael Wolf, 2003. "Honey, I shrunk the sample covariance matrix," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 691, Department of Economics and Business, Universitat Pompeu Fabra.
  14. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  15. Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 578, Department of Economics and Business, Universitat Pompeu Fabra.
  16. Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 586, Department of Economics and Business, Universitat Pompeu Fabra.
  17. Olivier Ledoit & Michael Wolf, 2001. "Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 575, Department of Economics and Business, Universitat Pompeu Fabra.
  18. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance, EconWPA 9903006, EconWPA.
  19. Bernardo, Antonio & Ledoit, Olivier, 1999. "Approximate Arbitrage," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt5dj834hk, Anderson Graduate School of Management, UCLA.
  20. Johansen, Anders & Ledoit, Olivier & Sornette, Didier, 1998. "Crashes at Critical Points," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt2s77r0rk, Anderson Graduate School of Management, UCLA.

Articles

  1. Ledoit, Oliver & Wolf, Michael, 2008. "Robust performance hypothesis testing with the Sharpe ratio," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(5), pages 850-859, December.
  2. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 88(2), pages 365-411, February.
  3. Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 735-747, August.
  4. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 603-621, December.
  5. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 108(1), pages 144-172, February.
  6. Crack, Timothy Falcon & Ledoit, Olivier, 1996. " Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 751-62, June.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2011-09-16 2011-11-14
  2. NEP-CDM: Collective Decision-Making (1) 2011-11-14
  3. NEP-ECM: Econometrics (12) 2001-11-27 2001-11-27 2001-12-19 2004-05-16 2008-02-09 2009-04-13 2010-03-13 2010-10-23 2010-10-23 2013-01-26 2013-05-24 2014-02-02. Author is listed
  4. NEP-ENT: Entrepreneurship (2) 2001-11-27 2001-11-27
  5. NEP-ETS: Econometric Time Series (3) 2001-11-27 2001-11-27 2001-12-19
  6. NEP-FIN: Finance (1) 2004-05-26
  7. NEP-FMK: Financial Markets (2) 2001-11-27 2001-12-19
  8. NEP-MAC: Macroeconomics (2) 2011-09-16 2011-11-14
  9. NEP-MON: Monetary Economics (2) 2011-09-16 2011-11-14
  10. NEP-NET: Network Economics (2) 2001-11-27 2001-11-27
  11. NEP-ORE: Operations Research (2) 2008-02-09 2010-10-23
  12. NEP-POL: Positive Political Economics (1) 2011-11-14

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