Olivier Ledoit : Citation Profile


Are you Olivier Ledoit?

Universität Zürich

10

H index

11

i10 index

1059

Citations

RESEARCH PRODUCTION:

10

Articles

34

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 44
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 291.    Total self citations: 20 (1.85 %)

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   Permalink: http://citec.repec.org/ple718
   Updated: 2020-05-16    RAS profile: 2019-07-18    
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Relations with other researchers


Works with:

Wolf, Michael (13)

Engle, Robert (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Ledoit.

Is cited by:

Pesaran, M (24)

Santos, Andre (20)

Caporin, Massimiliano (17)

McAleer, Michael (16)

Bollerslev, Tim (16)

Kondor, Imre (16)

Fan, Jianqing (15)

Bailey, Natalia (14)

Moura, Guilherme (10)

Boudt, Kris (10)

Parolya, Nestor (9)

Cites to:

Wolf, Michael (47)

Engle, Robert (11)

Titman, Sheridan (7)

Uppal, Raman (7)

Korajczyk, Robert (6)

Connor, Gregory (6)

Andrews, Donald (6)

Fan, Jianqing (5)

Fama, Eugene (4)

Santa-Clara, Pedro (4)

Roll, Richard (4)

Main data


Where Olivier Ledoit has published?


Journals with more than one article published# docs
Journal of Empirical Finance2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA4
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Olivier Ledoit (2020 and 2019)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2019Comparing Tests for Identification of Bubbles. (2019). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2019-16.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2019Main aspects on the nature of dynamic models. (2019). Birsan, Oana ; Grigorescu, Dana Luiza ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:129-138.

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2019Main aspects on the nature of dynamic models. (2019). Birsan, Oana ; Grigorescu, Dana Luiza ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:129-138.

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2020An approach to the use of cryptocurrencies in Romania using data mining technique. (2020). Nica, Ionu ; Chiri, Nora. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvii:y:2020:i:1(622):p:5-20.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2020Asymptotic distribution of the Markowitz portfolio. (2018). Pav, Steven E.. In: Papers. RePEc:arx:papers:1312.0557.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2018Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1602.08297.

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2018Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017Analytic solution to variance optimization with no short-selling. (2017). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre. In: Papers. RePEc:arx:papers:1612.07067.

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2017Market Crashes as Critical Phenomena? Explanation, Idealization, and Universality in Econophysics. (2017). Weatherall, James Owen ; Palacios, Patricia ; Jhun, Jennifer . In: Papers. RePEc:arx:papers:1704.02392.

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2017Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Muhle-Karbe, Johannes ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1704.04524.

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2018Surplus-invariant risk measures. (2018). Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1707.04949.

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2017On the overestimation of the largest eigenvalue of a covariance matrix. (2017). Hayou, Soufiane . In: Papers. RePEc:arx:papers:1708.03551.

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2017Risk-Aware Multi-Armed Bandit Problem with Application to Portfolio Selection. (2017). Fu, Feng ; Huo, Xiaoguang . In: Papers. RePEc:arx:papers:1709.04415.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre. In: Papers. RePEc:arx:papers:1709.08755.

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2017Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble. (2017). Herrmann, Sebastian ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1711.06679.

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2018Generalized Information Ratio. (2018). He, Zhongzhi Lawrence. In: Papers. RePEc:arx:papers:1803.01381.

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2018Stock Price Prediction using Principle Components. (2018). , Edwin ; Ghorbani, Mahsa. In: Papers. RePEc:arx:papers:1803.05075.

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2018Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfes Law and the LPPLS Model. (2018). Gantner, Robert N ; Reppen, Max ; Huber, Tobias ; Sornette, Didier ; Wheatley, Spencer. In: Papers. RePEc:arx:papers:1803.05663.

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2018Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1804.01764.

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2018Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator. (2018). Esfahani, Peyman Mohajerin ; Kuhn, Daniel ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:1805.07194.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018Some Statistical Problems with High Dimensional Financial data. (2018). Sen, Rituparna ; Chakrabarti, Arnab. In: Papers. RePEc:arx:papers:1808.02953.

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2018Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Papers. RePEc:arx:papers:1809.01464.

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2019Forecasting Time Series with VARMA Recursions on Graphs. (2019). Leus, Geert ; Perraudin, Nathanael ; Loukas, Andreas ; Isufi, Elvin. In: Papers. RePEc:arx:papers:1810.08581.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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2018The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Ziel, Florian ; Kath, Christopher. In: Papers. RePEc:arx:papers:1811.08604.

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2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

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2019Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases. (2019). Firoozye, Nick ; Koshiyama, Adriano. In: Papers. RePEc:arx:papers:1905.05023.

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2019Artificial Intelligence Alter Egos: Who benefits from Robo-investing?. (2019). Raymond, Steve ; Ghysels, Eric ; de Winne, Rudy ; DEWINNE, Rudy ; D'Hondt, Catherine. In: Papers. RePEc:arx:papers:1907.03370.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2019Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Portfolio Cuts: A Graph-Theoretic Framework to Diversification. (2019). Mandic, Danilo P ; Constantinides, Anthony G ; Stankovic, Ljubisa ; Dees, Bruno Scalzo. In: Papers. RePEc:arx:papers:1910.05561.

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2019Sparsity and Stability for Minimum-Variance Portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.11840.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2019Omega and Sharpe ratio. (2019). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1911.10254.

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2020PCA for Implied Volatility Surfaces. (2020). Papanicolaou, George ; Healy, Brian ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2002.00085.

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2020Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2020TPLVM: Portfolio Construction by Students $t$-process Latent Variable Model. (2020). Nakagawa, Kei ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:2002.06243.

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2020Cross-sectional Stock Price Prediction using Deep Learning for Actual Investment Management. (2020). Nakagawa, Kei ; Abe, Masaya. In: Papers. RePEc:arx:papers:2002.06975.

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2020Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723.

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2020A Framework for Online Investment Algorithms. (2020). Gebbie, Tim ; van Zyl, Terence ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2003.13360.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020Bootstraps Regularize Singular Correlation Matrices. (2020). Bongiorno, Christian. In: Papers. RePEc:arx:papers:2004.03165.

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2017Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor . In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2017:p:44-48.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

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2018Information flow around stock market collapse. (2018). Bossomaier, Terry ; Duncan, Rod ; D'Alessandro, Steve ; Harre, Mike ; Steen, Adam ; Barnett, Lionel. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:45-58.

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2018The mixed vs the integrated approach to style investing: Much ado about nothing?. (2018). Leippold, Markus ; Rueegg, Roger. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:829-855.

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2017Estimation of the false discovery proportion with unknown dependence. (2017). Fan, Jianqing ; Han, XU. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1143-1164.

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2017Maximum likelihood estimation for linear Gaussian covariance models. (2017). Zwiernik, Piotr ; Richards, Donald ; Uhler, Caroline . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:4:p:1269-1292.

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2018Testing for pathway (in)activation by using Gaussian graphical models. (2018). van Wieringen, Wessel N ; van De, Mark A ; de Menezes, Renee X. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:67:y:2018:i:5:p:1419-1436.

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2017PORTFOLIO OPTIMIZATION - APPLICATION OF SHARPE MODEL USING LAGRANGE. (2017). Vasile, Bratian. In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:5:p:8-21.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876.

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2017The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power. (2017). Ronn, Ehud I ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:17/19.

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2018Exponent of Cross-sectional Dependence for Residuals. (2018). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7223.

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2017Creating Investment Scheme with State Space Modeling. (2017). Takahashi, Soichiro ; Nakano, Masafumi. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2017Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics. (2017). Sornette, Didier ; Schatz, Michael. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1721.

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2017Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2018Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13193.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2017Robust and sparse estimation of high-dimensional precision matrices via bivariate outlier detection. (2017). Lafit, Ginette ; Nogales, Fco Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24534.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2017Carry trade returns with Support Vector Machines. (2017). Colombo, Emilio ; Rossignoli, Roberto ; Forte, Gianfranco. In: DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo. RePEc:dis:wpaper:dis1705.

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2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios. (2020). Paterlini, Sandra ; Giuzio, Margherita ; Craig, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20202384.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2017Generalized estimating equations with stabilized working correlation structure. (2017). Paik, Myunghee Cho ; Choi, Young-Geun ; Park, Taesung ; Kwon, Yongchan ; Ziegler, Andreas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:1-11.

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2017High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood. (2017). , Philip ; Zhu, Yuanyuan ; Wang, Xiaohang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:12-25.

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2019Spectral clustering via sparse graph structure learning with application to proteomic signaling networks in cancer. (2019). Baladandayuthapani, Veerabhadran ; Akbani, Rehan ; Banerjee, Sayantan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:132:y:2019:i:c:p:46-69.

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2019Weighted covariance matrix estimation. (2019). Liu, Yiming ; Yang, Guangren ; Pan, Guangming. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:139:y:2019:i:c:p:82-98.

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2019Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR. (2019). Gao, Jianjun ; Cui, Xiangyu ; Li, Duan ; Strub, Moris S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301502.

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2019A unified model for regularized and robust portfolio optimization. (2019). Plachel, Lukas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301769.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Macroeconomic and financial effects of oil price shocks: Evidence for the euro area. (2017). MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:82-96.

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2018The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:81-92.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2018Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets?. (2018). Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:225-229.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534.

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2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. (2019). Li, Degui ; Chen, Jia ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:155-176.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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2019Alternative over-identifying restriction test in the GMM estimation of panel data models. (2019). Hayakawa, Kazuhiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:71-95.

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2019Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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2018Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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More than 100 citations found, this list is not complete...

Works by Olivier Ledoit:


YearTitleTypeCited
2003Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
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2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
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1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
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2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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1999Approximate Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
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2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper17
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper101
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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2000Improved estimation of the covariance matrix of stock returns with an application to portfolio selection In: DES - Working Papers. Statistics and Econometrics. WS.
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paper336
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
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2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
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article3
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
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2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
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2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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article14
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
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2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
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article25
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
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2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
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2001Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size In: Economics Working Papers.
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paper2
1999Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes In: Finance.
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2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
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2011Choice Democracy In: ECON - Working Papers.
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2011The redistributive effects of monetary policy In: ECON - Working Papers.
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paper9
2013A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction In: ECON - Working Papers.
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2014Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers.
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2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
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2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
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2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
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2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
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2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
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2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
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2020Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
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2020Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers.
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2019Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
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2009Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers.
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2010Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers.
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2011Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers.
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paper2
2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
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