O
Olivier Ledoit
Researcher at University of Zurich
Publications - 81
Citations - 10680
Olivier Ledoit is an academic researcher from University of Zurich. The author has contributed to research in topics: Covariance matrix & Covariance. The author has an hindex of 33, co-authored 80 publications receiving 9301 citations. Previous affiliations of Olivier Ledoit include Credit Suisse & Saint Petersburg State University.
Papers
More filters
Journal ArticleDOI
A well-conditioned estimator for large-dimensional covariance matrices
Olivier Ledoit,Michael Wolf +1 more
TL;DR: This paper introduces an estimator that is both well-conditioned and more accurate than the sample covariance matrix asymptotically, that is distribution-free and has a simple explicit formula that is easy to compute and interpret.
Journal ArticleDOI
Improved Estimation of the Covariance Matrix of Stock Returns With an Application to Portfolio Selection
TL;DR: In this paper, the covariance matrix of stock returns is estimated by an optimally weighted average of two existing estimators: the sample covariance and single-index covariance matrices.
Journal ArticleDOI
Honey, I shrunk the sample covariance matrix
Olivier Ledoit,Michael Wolf +1 more
TL;DR: Shrinkage as mentioned in this paper is a matrix obtained from the sample covariance matrix through a transformation called shrinkage, which pulls the most extreme coefficients toward more central values, systematically reducing estimation error when it matters most.
Journal ArticleDOI
Robust Performance Hypothesis Testing with the Sharpe Ratio
Olivier Ledoit,Michael Wolf +1 more
TL;DR: In this article, the authors propose to construct a studentized time series bootstrap confidence interval for the difference of the Sharpe ratios and declare the two ratios different if zero is not contained in the obtained interval.
Journal ArticleDOI
Gain, Loss, and Asset Pricing
TL;DR: In this article, the authors develop an approach to asset pricing in incomplete markets that bridges the gap between the two fundamental approaches in finance: model-based pricing and pricing by no arbitrage.