Olivier Ledoit : Citation Profile


Are you Olivier Ledoit?

Universität Zürich

11

H index

12

i10 index

1632

Citations

RESEARCH PRODUCTION:

10

Articles

35

Papers

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 65
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 206.    Total self citations: 23 (1.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple718
   Updated: 2022-08-13    RAS profile: 2019-07-18    
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Relations with other researchers


Works with:

Wolf, Michael (10)

Engle, Robert (3)

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 (25)

Bollerslev, Tim (21)

Santos, Andre (20)

LINTON, OLIVER (20)

Fan, Jianqing (17)

Caporin, Massimiliano (16)

Kondor, Imre (16)

Bailey, Natalia (14)

Christoffersen, Peter (14)

Diebold, Francis (13)

Parolya, Nestor (13)

Cites to:

Wolf, Michael (56)

Engle, Robert (24)

Jagannathan, Ravi (9)

Uppal, Raman (9)

Titman, Sheridan (8)

Connor, Gregory (6)

Andrews, Donald (6)

Korajczyk, Robert (6)

Bollerslev, Tim (6)

Fan, Jianqing (5)

Colacito, Riccardo (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 (2022 and 2021)


YearTitle of citing document
2021Maximizing the Out-of-Sample Sharpe Ratio. (2021). Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021013.

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2021Optimal Portfolio Diversification via Independent Component Analysis. (2021). Vrins, Frederic ; Lassance, Nathan ; Demiguel, Victor ; de Miguel, Victor . In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021014.

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2021Optimal 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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2021Portfolio 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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2022Sharpe 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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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2022A Test for Kronecker Product Structure Covariance Matrix. (2020). Mavroeidis, Sophocles ; Kleibergen, Frank ; Guggenberger, Patrik. In: Papers. RePEc:arx:papers:2010.10961.

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2021Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity. (2020). Gouri, Christian ; Dobronyi, Christopher. In: Papers. RePEc:arx:papers:2010.13937.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2021The 2020 Global Stock Market Crash: Endogenous or Exogenous?. (2021). Zhu, Wei ; Shu, Min ; Song, Ruiqiang. In: Papers. RePEc:arx:papers:2101.00327.

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2021The COVID Crash of the 2020 U.S. Stock Market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: Papers. RePEc:arx:papers:2101.03625.

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2021Graphical Models for Financial Time Series and Portfolio Selection. (2021). Zhan, NI ; Sun, Yijia ; Jakhar, Aman ; Liu, HE. In: Papers. RePEc:arx:papers:2101.09214.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021A combinatorial optimization approach to scenario filtering in portfolio selection. (2021). Scozzari, Andrea ; Rodr, Mois'Es ; Ricca, Federica ; Puerto, Justo. In: Papers. RePEc:arx:papers:2103.01123.

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2022Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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2021Portfolio Optimization with Sparse Multivariate Modelling. (2021). Aste, Tomaso ; Procacci, Pier Francesco. In: Papers. RePEc:arx:papers:2103.15232.

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2021Dimension reduction of open-high-low-close data in candlestick chart based on pseudo-PCA. (2021). Wang, Shanshan ; Huang, Wenyang. In: Papers. RePEc:arx:papers:2103.16908.

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2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. (2021). Thorsen, Erik ; Parolya, Nestor ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2106.02131.

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2021Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055.

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2021The efficient frontiers of mean-variance portfolio rules under distribution misspecification. (2021). van Zyl, Terence ; Gebbie, Tim ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2106.10491.

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2021Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market. (2021). Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2107.11371.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version). (2021). Kercheval, Alec ; Gurdogan, Hubeyb. In: Papers. RePEc:arx:papers:2109.00148.

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2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

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2021Psychological dimension of adaptive trading in cryptocurrency markets. (2021). Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2109.12166.

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2021High-dimensional Portfolio Optimization using Joint Shrinkage. (2021). Banerjee, Sayantan ; Burman, Anik. In: Papers. RePEc:arx:papers:2109.13633.

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2021Exploring the Endogenous Nature of Meme Stocks Using the Log-Periodic Power Law Model and Confidence Indicator. (2021). Takagi, Hideyuki. In: Papers. RePEc:arx:papers:2110.06190.

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2021Kernel Minimum Divergence Portfolios. (2021). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

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2021Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2111.08294.

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2021A Universal End-to-End Approach to Portfolio Optimization via Deep Learning. (2021). Zohren, Stefan ; Cucuringu, Mihai ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2111.09170.

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2021Investing in a cryptocurrency price bubble: speculative Ponzi schemes and cyclic stochastic price pumps. (2021). Perepelitsa, Misha. In: Papers. RePEc:arx:papers:2111.11315.

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2021RPS: Portfolio Asset Selection using Graph based Representation Learning. (2021). Loghmani, Erfan ; Owfi, Ali ; Alian, Parsa ; Fazli, Mohammadamin. In: Papers. RePEc:arx:papers:2111.15634.

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2021Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016.

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2021The Oracle estimator is suboptimal for global minimum variance portfolio optimisation. (2021). Challet, Damien ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2112.07521.

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2021Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong. In: Papers. RePEc:arx:papers:2112.15499.

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2022High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584.

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2022Option Volume Imbalance as a predictor for equity market returns. (2022). Howison, Sam ; Cucuringu, Mihai ; Michael, Nikolas. In: Papers. RePEc:arx:papers:2201.09319.

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2022Two is better than one: Regularized shrinkage of large minimum variance portfolio. (2022). Parolya, Nestor ; Thors, Erik ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2202.06666.

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2022Canonical Portfolios: Optimal Asset and Signal Combination. (2022). Tan, Vincent ; Zohren, Stefan ; Firoozye, Nick. In: Papers. RePEc:arx:papers:2202.10817.

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2022Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-series. (2022). Wang, Yuanrong ; Aste, Tomaso. In: Papers. RePEc:arx:papers:2203.03991.

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2022A generalized precision matrix for t-Student distributions in portfolio optimization. (2022). Paterlini, Sandra ; Taufer, Emanuele ; Bax, Karoline. In: Papers. RePEc:arx:papers:2203.13740.

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2022LoCoV: low dimension covariance voting algorithm for portfolio optimization. (2022). Popescu, Ionel ; Duan, Juntao. In: Papers. RePEc:arx:papers:2204.00204.

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2022Portfolio Optimization Using a Consistent Vector-Based MSE Estimation Approach. (2022). Al-Saggaf, Ubaid ; Al-Naffouri, Tareq Y ; Moinuddin, Muhammad ; Ballal, Tarig ; Mahadi, Maaz. In: Papers. RePEc:arx:papers:2204.05611.

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2022Randomized geometric tools for anomaly detection in stock markets. (2022). Chalkis, Apostolos ; Bachelard, Cyril ; Tsigaridas, Elias ; Fisikopoulos, Vissarion. In: Papers. RePEc:arx:papers:2205.03852.

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2022Global combinations of expert forecasts. (2022). Thompson, Ryan ; Qian, Yilin ; Vasnev, Andrey L. In: Papers. RePEc:arx:papers:2207.07318.

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2022The Performance of Hedge Fund Industry during the COVID-19 Crisis – Theoretical Characteristics and Empirical Aspects. (2022). Ganchev, Alexander . In: Economic Studies journal. RePEc:bas:econst:y:2022:i:1:p:18-37.

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2021Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers. (2021). Hipp, Ruben ; Brunner, Felix. In: Staff Working Papers. RePEc:bca:bocawp:21-37.

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2021Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard?to?value fundamentals. (2021). Strauss, Jack ; Liu, Hong ; Detzel, Andrew ; Zhu, Yingzi ; Zhou, Guofu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:107-137.

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2021WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407.

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2021Information?driven stock price comovement. (2021). Shang, Danjue ; Box, Travis. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:403-429.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Option Trading and REIT Returns. (2021). Sheng, Hainan ; Harrison, David M ; Cashman, George D. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:1:p:332-389.

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2021Large?sample approximations and change testing for high?dimensional covariance matrices of multivariate linear time series and factor models. (2021). Steland, Ansgar ; Bours, Monika. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:610-654.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2021Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions. (2021). Anatolyev, Stanislav ; Pyrlik, Vladimir . In: CERGE-EI Working Papers. RePEc:cer:papers:wp699.

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2022Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries. (2022). Basson, L J ; Dickason-Koekemoer, Zandri ; Ferreira-Schenk, Sune. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-02-9.

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2021Split Bregman iteration for multi-period mean variance portfolio optimization. (2021). de Simone, Valentina ; Corsaro, Stefania ; Marino, Zelda. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306688.

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2021An efficient numerical method for condition number constrained covariance matrix approximation. (2021). Wang, Shaoxin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:397:y:2021:i:c:s009630032030878x.

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2022Multi?period portfolio selection with investor views based on scenario tree. (2022). Wang, Shouyang ; Fang, Yong ; Bai, Lin ; Zhao, Daping. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s0096300321008961.

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2021Heat load forecasting using adaptive temporal hierarchies. (2021). Madsen, Henrik ; Guericke, Daniela ; Palsson, Olafur Petur ; Nystrup, Peter ; Moller, Jan Kloppenborg ; Bergsteinsson, Hjorleifur G. In: Applied Energy. RePEc:eee:appene:v:292:y:2021:i:c:s0306261921003603.

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2021Ensemble sparse estimation of covariance structure for exploring genetic disease data. (2021). Wang, Mingqiu ; Kang, Xiaoning. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000542.

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2022Dimension reduction for block-missing data based on sparse sliced inverse regression. (2022). Zhang, QI ; Xiao, Zhen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:167:y:2022:i:c:s0167947321001821.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Taxation and the distributional impact of inflation: The U.S. post-war experience. (2022). Wieschemeyer, Matthias ; Sussmuth, Bernd. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000591.

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2021Factor tracking: A new smart beta strategy that outperforms naïve diversification. (2021). Bian, Yun ; Du, Jiangze ; Jiang, Chonghui ; Zhang, Jinqing. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:396-408.

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2021Herding for profits: Market breadth and the cross-section of global equity returns. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szyszka, Adam ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:348-364.

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2021Information interaction, behavioral synchronization and asset market volatility. (2021). Li, Hong Gang ; Gao, Yudong ; Wang, Chengjin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302084.

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2021Long-term wealth growth portfolio allocation under parameter uncertainty: A non-conservative robust approach. (2021). Zhang, Tianlun ; Zhu, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000620.

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2021Are Google searches making the Bitcoin market run amok? A tail event analysis. (2021). Neto, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000796.

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2021The ‘COVID’ crash of the 2020 U.S. Stock market. (2021). Zhu, Wei ; Song, Ruiqiang ; Shu, Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001170.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021High dimensional minimum variance portfolio estimation under statistical factor models. (2021). Zheng, Xinghua ; Li, Yingying ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:502-515.

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2021Nonparametric estimation of large covariance matrices with conditional sparsity. (2021). Leng, Chenlei ; Li, Degui ; Peng, Bin ; Wang, Hanchao. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:53-72.

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2022Asset selection based on high frequency Sharpe ratio. (2022). Chen, Min ; Lian, Yimin ; Wang, Christina Dan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:168-188.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2021Second order of stochastic dominance efficiency vs mean variance efficiency. (2021). Truck, Stefan ; Lozza, Sergio Ortobelli ; Malavasi, Matteo. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1192-1206.

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2021Parameter-free robust optimization for the maximum-Sharpe portfolio problem. (2021). Chakrabarti, Deepayan. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:388-399.

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2021Revealing Pairs-trading opportunities with long short-term memory networks. (2021). Regoli, Daniele ; Flori, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:772-791.

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2022Portfolio optimization with behavioural preferences and investor memory. (2022). Mazibas, Murat. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:368-387.

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2022Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

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2022Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness. (2022). Yu, Min-Teh ; Sun, Edward W ; Chang, Chia-Chien ; Chen, Chang-Chih. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:2:p:727-742.

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2022Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it. (2022). Zhao, Yuan ; Lamb, John D ; Mynbayeva, Elmira. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:694-707.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2021Risk optimizations on basis portfolios: The role of sorting. (2021). Lambert, Marie ; Papageorgiou, Nicolas ; Fays, Boris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:136-163.

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2022A toolkit for exploiting contemporaneous stock correlations. (2022). Sun, Chuanping ; Hiraki, Kazuhiro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:99-124.

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2021Portfolio efficiency with high-dimensional data as conditioning information. (2021). Vigo Pereira, Caio. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001460.

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2021Reduction of estimation risk in optimal portfolio choice using redundant constraints. (2021). Rosales, Francisco ; Chavez-Bedoya, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002532.

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2021Asymmetry, tail risk and time series momentum. (2021). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002581.

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2022Stock market bubbles and anti-bubbles. (2022). Henriksson, Roy ; Sakoulis, Georgios ; Tarlie, Martin B. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521918302138.

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2022Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process. (2022). Simaan, Yusif ; Khashanah, Khaldoun. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000412.

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2021Beyond risk parity – A machine learning-based hierarchical risk parity approach on cryptocurrencies. (2021). Burggraf, Tobias. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s154461232030177x.

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2021Improving the naive diversification: An enhanced indexation approach. (2021). Wu, Baiyi ; Huang, Qin ; Li, Helong. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320302579.

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2021Optimal portfolio selection using a simple double-shrinkage selection rule. (2021). Park, Sung Y. ; Joo, Young C. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001008.

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2022Using a hedging network to minimize portfolio risk. (2022). Zareei, Abalfazl ; Moreno, David ; Mayoral, Silvia. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001252.

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2022An Empirical Evaluation of Sensitivity Bounds for Mean-Variance Portfolio Optimisation. (2022). Woolway, Matthew ; Paskaramoorthy, Andrew. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s154461232100146x.

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2022A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2022Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

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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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article15
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper82
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
1999Approximate Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper3
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper21
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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paper132
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
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article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
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paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
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paper347
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
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article
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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paper451
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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This paper has another version. Agregated cites: 451
article
2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
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This paper has another version. Agregated cites: 451
paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
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article7
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
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paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
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article305
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
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This paper has another version. Agregated cites: 305
paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
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article33
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
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This paper has another version. Agregated cites: 33
paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
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article63
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
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This paper has another version. Agregated cites: 63
paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
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article127
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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paper0
2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
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paper0
2011Choice Democracy In: ECON - Working Papers.
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paper0
2011The redistributive effects of monetary policy In: ECON - Working Papers.
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paper11
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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paper0
2014Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers.
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paper1
2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
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paper2
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
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paper1
2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
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paper1
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
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paper5
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
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paper0
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
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paper3
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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paper4
2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
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paper0
2021Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
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paper1
2009Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers.
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paper0
2010Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers.
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paper0
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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paper0

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