Olivier Ledoit : Citation Profile

Universität Zürich

14

H index

16

i10 index

2359

Citations

RESEARCH PRODUCTION:

10

Articles

37

Papers

RESEARCH ACTIVITY:

   28 years (1996 - 2024). See details.
   Cites by year: 84
   Journals where Olivier Ledoit has often published
   Relations with other researchers
   Recent citing documents: 229.    Total self citations: 24 (1.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple718
   Updated: 2026-02-21    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Wolf, Michael (6)

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

Is cited by:

Santos, Andre (31)

Pesaran, Mohammad (25)

LINTON, OLIVER (24)

De Nard, Gianluca (24)

Bollerslev, Tim (21)

Zhou, Wei-Xing (20)

Fan, Jianqing (20)

Caporin, Massimiliano (19)

GUPTA, RANGAN (18)

Kondor, Imre (16)

Conlon, Thomas (14)

Cites to:

Wolf, Michael (59)

Engle, Robert (26)

Uppal, Raman (11)

Titman, Sheridan (9)

Jagannathan, Ravi (9)

Memmel, Christoph (6)

French, Kenneth (6)

Bollerslev, Tim (6)

Korajczyk, Robert (6)

Andrews, Donald (6)

Connor, Gregory (6)

Main data

Where Olivier Ledoit has published?

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

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 (2025 and 2024)

YearTitle of citing document
2025A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

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2024Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

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2025Mean-Covariance Robust Risk Measurement. (2023). Nguyen, Viet Anh ; Abadeh, Soroosh Shafieezadeh ; Kuhn, Daniel ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2112.09959.

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2024Flexible global forecast combinations. (2024). Vasnev, Andrey ; Qian, Yilin ; Thompson, Ryan. In: Papers. RePEc:arx:papers:2207.07318.

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2024Optimal Bubble Riding: A Mean Field Game with Varying Entry Times. (2024). Wang, Shichun ; Tangpi, Ludovic. In: Papers. RePEc:arx:papers:2209.04001.

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2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2025Ledoit-Wolf linear shrinkage with unknown mean. (2025). Oriol, Benoit ; Miot, Alexandre. In: Papers. RePEc:arx:papers:2304.07045.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024New approximate stochastic dominance approaches for Enhanced Indexation models. (2024). Puerto, Justo ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2401.12669.

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2025Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Fisikopoulos, Vissarion ; Tsigaridas, Elias ; Bachelard, Cyril ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2403.00009.

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2024Portfolio management using graph centralities: Review and comparison. (2024). Noferini, Vanni ; Vrontos, Spyridon ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187.

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2024Portfolio Optimization with Robust Covariance and Conditional Value-at-Risk Constraints. (2024). Zhou, Qiqin. In: Papers. RePEc:arx:papers:2406.00610.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series. (2024). Kostanjvcar, Zvonko ; Beguvsi, Stjepan ; Vzigni, Lucija. In: Papers. RePEc:arx:papers:2407.03781.

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2024Risk Analysis of Passive Portfolios. (2024). Das, Sourish. In: Papers. RePEc:arx:papers:2407.08332.

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2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

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2024The Blockchain Risk Parity Line: Moving From The Efficient Frontier To The Final Frontier Of Investments. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2407.09536.

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2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

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2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

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2024Endogenous Crashes as Phase Transitions. (2024). Nayar, Revant ; Islam, Minhajul. In: Papers. RePEc:arx:papers:2408.06433.

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2025Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521.

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2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

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2024Fast Deep Hedging with Second-Order Optimization. (2024). Wood, Ben ; Gonon, Lukas ; Akkari, Amira ; Mueller, Konrad. In: Papers. RePEc:arx:papers:2410.22568.

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2024Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios. (2024). Cotton, Peter. In: Papers. RePEc:arx:papers:2411.05807.

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2024Diversification quotient based on expectiles. (2024). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2411.14646.

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2025Beyond Monte Carlo: Harnessing Diffusion Models to Simulate Financial Market Dynamics. (2025). Lesniewski, Andrew ; Trigila, Giulio. In: Papers. RePEc:arx:papers:2412.00036.

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2024M6 Investment Challenge: The Role of Luck and Strategic Considerations. (2024). Stanvek, Filip. In: Papers. RePEc:arx:papers:2412.04490.

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2025Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Generalized Factor Neural Network Model for High-dimensional Regression. (2025). Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Guo, Zichuan. In: Papers. RePEc:arx:papers:2502.11310.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025A Supervised Screening and Regularized Factor-Based Method for Time Series Forecasting. (2025). Gao, Zhaoxing ; Tu, Sihan. In: Papers. RePEc:arx:papers:2502.15275.

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2025Chronologically Consistent Large Language Models. (2025). Wu, Jimmy ; Manela, Asaf ; Lv, Linying ; He, Songrun. In: Papers. RePEc:arx:papers:2502.21206.

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2026Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Semiparametric Dynamic Copula Models for Portfolio Optimization. (2025). Ghosh, Sujit K ; Pareek, Savita. In: Papers. RePEc:arx:papers:2504.12266.

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2026Beating the Correlation Breakdown: Robust Inference, Flexible Scenarios, and Stress Testing for Financial Portfolios. (2025). Opdyke, JD. In: Papers. RePEc:arx:papers:2504.15268.

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2025The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545.

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2025End-to-End Large Portfolio Optimization for Variance Minimization with Neural Networks through Covariance Cleaning. (2025). Mantegna, Rosario ; Manolakis, Efstratios ; Bongiorno, Christian. In: Papers. RePEc:arx:papers:2507.01918.

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2025A General Class of Model-Free Dense Precision Matrix Estimators. (2025). Agostino, Mehmet Caner. In: Papers. RePEc:arx:papers:2507.04663.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Dynamic Factor Models with Forward-Looking Views. (2025). Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2509.11528.

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2025Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics. (2025). Casto, Gabriele. In: Papers. RePEc:arx:papers:2509.23533.

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2025A Practitioners Guide to AI+ML in Portfolio Investing. (2025). Qingliang, Mehmet Caner. In: Papers. RePEc:arx:papers:2509.25456.

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2025Multi-Agent Regime-Conditioned Diffusion (MARCD) for CVaR-Constrained Portfolio Decisions. (2025). Alzahrani, Ali Atiah. In: Papers. RePEc:arx:papers:2510.10807.

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2025Identifying and Quantifying Financial Bubbles with the Hyped Log-Periodic Power Law Model. (2025). Geman, Helyette ; Cao, Zheng ; Yan, Yuheng ; Shao, Xingran. In: Papers. RePEc:arx:papers:2510.10878.

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2025RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets. (2025). Zhang, Yiyao ; Goel, Diksha ; Szabo, Claudia ; Ahmad, Hussain. In: Papers. RePEc:arx:papers:2510.14986.

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2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

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2025Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications. (2025). Garcia-Medina, Andres. In: Papers. RePEc:arx:papers:2510.19130.

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2025Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction. (2025). Cho, So-Yoon ; Ban, Kayoung ; Kim, Jin-Young ; Koo, Hyeng Keun. In: Papers. RePEc:arx:papers:2511.07014.

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2025Basis Immunity: Isotropy as a Regularizer for Uncertainty. (2025). Segonne, Florent. In: Papers. RePEc:arx:papers:2511.13334.

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2025Portfolio Optimization via Transfer Learning. (2025). Wang, Kexin ; Zhang, Xiaomeng. In: Papers. RePEc:arx:papers:2511.21221.

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2025Risk€“Return Efficiency in Emerging Dual Financial Markets: A Comparative Study of Markowitz Mean€“Variance and Sharpe Single-Index Portfolio Models in Malaysia. (2025). Hadi, Muhammad Abd ; Hussain, Nordianah Jusoh ; Talib, Adi Hakim ; Ahmad, Nurul Ainun ; Zaki, Bushra Mohd ; Nik, Nik Rozila. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-9:p:2934-2948.

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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2024Reference dependence and endogenous anchors. (2024). Meirelesrodrigues, Andrea ; Guasoni, Paolo. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:925-976.

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2024Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?. (2024). LINTON, OLIVER ; Su, W ; Liu, W ; Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2427.

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2025Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2536.

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2024Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?. (2024). LINTON, OLIVER ; Su, W ; Liu, W ; Ge, S. In: Janeway Institute Working Papers. RePEc:cam:camjip:2416.

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2025Estimation of Large Dynamic Precision Matrices with a Latent Semiparametric Structure. (2025). Linton, O B ; Chen, J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2514.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2025Cost mitigation of factor investing in emerging equity markets. (2025). Stankov, Kay ; Schiereck, Dirk ; Flgel, Volker. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:156140.

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2025High-dimensional copula-based Wasserstein dependence. (2025). Gijbels, Irne ; de Keyser, Steven. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:204:y:2025:i:c:s0167947324001804.

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2025Robust generalized canonical correlation analysis based on scatter matrices. (2025). Fasano, Victoria M ; Kudraszow, Nadia L ; Ferrario, Julieta ; Vahnovan, Alejandra V. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:206:y:2025:i:c:s0167947325000027.

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2025Efficient computation of sparse and robust maximum association estimators. (2025). Filzmoser, Peter ; Pfeiffer, Pia ; Alfons, Andreas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:207:y:2025:i:c:s016794732500009x.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2024Robust portfolio selection with smart return prediction. (2024). Tu, Xueyong ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2025The performance of ESG portfolios: Evidence from the Chinese market under COVID-19. (2025). Cheng, Ho Cheung ; Wang, Shaolin ; Yick, Ho Yin. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003158.

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2025Improving minimum-variance portfolio through shrinkage of large covariance matrices. (2025). Shu, Lianjie ; Shi, Fangquan ; Huang, Wenpo ; He, Fangyi. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003389.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market. (2024). Ji, Hongyun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001833.

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2024Yield curve trading strategies exploiting sentiment data. (2024). Serwart, Jan ; Audrino, Francesco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001517.

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2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

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2025Creditable bonds’ multifunctional roles during the COVID-19 pandemic. (2025). CHONG, Terence Tai Leung ; Yang, Junhong ; Wang, Qiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002730.

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2024Detecting market bubbles: A generalized LPPLS neural network model. (2024). Li, Chenchen ; Ma, Juntao. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004877.

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2025Quantifying speculative-bubble effects in major European soccer leagues. (2025). Binner, Jane M ; Fry, John. In: Economics Letters. RePEc:eee:ecolet:v:248:y:2025:i:c:s016517652500045x.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Cai, Zhanrui ; Yang, Songshan ; Wen, Jiawei ; Li, Changcheng. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Robustifying Markowitz. (2024). Klochkov, Yegor ; Hardle, Wolfgang Karl ; Zhivotovskiy, Nikita ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

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2025Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

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2025A large confirmatory dynamic factor model for stock market returns in different time zones. (2025). Wu, Jianbin ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000259.

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2025Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio. (2025). Caner, Mehmet ; Daniele, Maurizio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s030440762500137x.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Forecasting Near-equivalence of Linear Dimension Reduction Methods in Large Panels of Macro-variables. (2024). Bura, Efstathia ; Barbarino, Alessandro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:1-18.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

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2025Sustainable optimal stock portfolios: What relationship between sustainability and performance?. (2025). Torricelli, Costanza ; Bertelli, Beatrice. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:323-340.

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2025Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization. (2025). Puerto, Justo ; Cesarone, Francesco. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:2:p:657-670.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns. (2024). Hediger, Simon ; Naf, Jeffrey. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000240.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2025Credit distortions in Japanese momentum. (2025). Ross, Sharon Y. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000374.

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2025Portfolio optimization with estimation errors—A robust linear regression approach. (2025). Du, Yilin ; He, Wenfeng ; Mei, Xiaoling. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000416.

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

Works by Olivier Ledoit:

YearTitleTypeCited
2015Honey, I Shrunk the Sample Covariance Matrix In: Working Papers.
[Full Text][Citation analysis]		paper15
2003Honey, I shrunk the sample covariance matrix.(2003) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 15		paper
1996 Robust Structure without Predictability: The Compass Rose Pattern of the Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article25
1998Crashes at Critical Points In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper209
2000CRASHES AS CRITICAL POINTS.(2000) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 209		article
1999Approximate Arbitrage In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper3
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper23
1999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper142
2003Flexible Multivariate GARCH Modeling with an Application to International Stock Markets.(2003) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		article
2001Flexible multivariate GARCH modeling with an application to international stock markets.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142		paper
2000A well conditioned estimator for large dimensional covariance matrices In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper502
2004A well-conditioned estimator for large-dimensional covariance matrices.(2004) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 502		article
2000Improved estimation of the covariance matrix of stock returns with an application to portfolio selection In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper567
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 567		article
2001Improved estimation of the covariance matrix of stock returns with an application to portofolio selection.(2001) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 567		paper
2017Numerical implementation of the QuEST function In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article12
2017Numerical implementation of the QuEST function.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2008Robust performance hypothesis testing with the Sharpe ratio In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article430
2008Robust Performance Hypothesis Testing with the Sharpe Ratio.(2008) In: IEW - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 430		paper
2015Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article50
2013Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions.(2013) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2019Large Dynamic Covariance Matrices In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article126
2017Large dynamic covariance matrices.(2017) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 126		paper
2000Gain, Loss, and Asset Pricing In: Journal of Political Economy.
[Full Text][Citation analysis]		article147
2001Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size In: Economics Working Papers.
[Full Text][Citation analysis]		paper2
1999Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes In: Finance.
[Full Text][Citation analysis]		paper0
2011The coexistence of commodity money and fiat money In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2011Choice Democracy In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2011The redistributive effects of monetary policy In: ECON - Working Papers.
[Full Text][Citation analysis]		paper12
2013A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2014Optimal estimation of a large-dimensional covariance matrix under Stein’s loss In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
2014Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks In: ECON - Working Papers.
[Full Text][Citation analysis]		paper2
2017Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
2018Analytical nonlinear shrinkage of large-dimensional covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly In: ECON - Working Papers.
[Full Text][Citation analysis]		paper43
2018Robust performance hypothesis testing with smooth functions of population moments In: ECON - Working Papers.
[Full Text][Citation analysis]		paper5
2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation In: ECON - Working Papers.
[Full Text][Citation analysis]		paper14
2020Shrinkage estimation of large covariance matrices: keep it simple, statistician? In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2020Risk reduction and efficiency increase in large portfolios: leverage and shrinkage In: ECON - Working Papers.
[Full Text][Citation analysis]		paper8
2020Quadratic shrinkage for large covariance matrices In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2021Large dynamic covariance matrices: enhancements based on intraday data In: ECON - Working Papers.
[Full Text][Citation analysis]		paper16
2024Markowitz portfolios under transaction costs In: ECON - Working Papers.
[Full Text][Citation analysis]		paper1
2023A novel estimator of earths curvature (allowing for inference as well) In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2009Eigenvectors of some large sample covariance matrices ensembles In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0
2010Central limit theorems when data are dependent: addressing the pedagogical gaps In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0
2011Nonlinear shrinkage estimation of large-dimensional covariance matrices In: IEW - Working Papers.
[Full Text][Citation analysis]		paper2
2010Robust performance hypothesis testing with the variance In: IEW - Working Papers.
[Full Text][Citation analysis]		paper0

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