Access Statistics for Olivier Ledoit

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction 0 0 0 23 0 0 0 107
A novel estimator of earth's curvature (allowing for inference as well) 0 0 0 7 0 0 2 9
A well conditioned estimator for large dimensional covariance matrices 0 0 1 21 1 3 12 130
Analytical nonlinear shrinkage of large-dimensional covariance matrices 0 0 2 68 5 5 15 211
Approximate Arbitrage 0 0 0 11 0 0 1 57
Central limit theorems when data are dependent: addressing the pedagogical gaps 0 0 2 54 0 0 5 155
Choice Democracy 0 0 0 73 0 0 4 111
Crashes at Critical Points 1 1 1 25 1 1 7 82
Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies 0 0 0 34 0 0 1 75
Eigenvectors of some large sample covariance matrices ensembles 0 0 0 144 3 4 6 550
Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes 0 0 0 366 1 1 5 1,359
Factor models for portfolio selection in large dimensions: the good, the better and the ugly 0 0 1 109 1 1 9 166
Flexible Multivariate GARCH Modeling With an Application to International Stock Markets 0 0 1 6 0 0 1 41
Flexible multivariate GARCH modeling with an application to international stock markets 0 0 0 503 0 0 1 1,043
Honey, I Shrunk the Sample Covariance Matrix 0 0 5 63 0 3 34 251
Honey, I shrunk the sample covariance matrix 1 2 5 1,063 9 27 52 3,847
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 0 1 1 32 2 7 16 144
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection 0 0 4 1,035 0 1 11 2,897
Large dynamic covariance matrices 0 0 1 130 0 0 4 254
Large dynamic covariance matrices: enhancements based on intraday data 0 0 2 54 0 0 8 99
Markowitz portfolios under transaction costs 0 1 4 38 1 6 27 73
Nonlinear shrinkage estimation of large-dimensional covariance matrices 0 0 0 106 0 0 2 234
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks 0 0 0 125 0 0 3 376
Numerical implementation of the QuEST function 0 0 0 26 0 0 1 89
Optimal estimation of a large-dimensional covariance matrix under Stein’s loss 0 0 0 37 0 0 3 79
Quadratic shrinkage for large covariance matrices 0 0 2 45 0 0 6 84
Relative Pricing of Options with Stochastic Volatility 0 0 0 30 0 0 1 111
Risk reduction and efficiency increase in large portfolios: leverage and shrinkage 0 0 1 19 0 0 3 60
Robust Performance Hypothesis Testing with the Sharpe Ratio 2 2 5 642 4 7 12 2,185
Robust performance hypothesis testing with smooth functions of population moments 0 0 1 43 0 0 4 32
Robust performance hypothesis testing with the variance 0 0 0 26 0 0 0 150
Shrinkage estimation of large covariance matrices: keep it simple, statistician? 0 0 1 39 0 0 5 123
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size 0 0 0 231 0 0 3 863
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions 0 0 0 117 0 0 3 307
The coexistence of commodity money and fiat money 0 0 0 113 0 1 8 431
The power of (non-)linear shrinking: a review and guide to covariance matrix estimation 1 3 4 77 1 4 18 200
The redistributive effects of monetary policy 0 0 4 158 1 1 9 422
Total Working Papers 5 10 48 5,693 30 72 302 17,407


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A well-conditioned estimator for large-dimensional covariance matrices 0 1 4 151 1 5 31 583
CRASHES AS CRITICAL POINTS 1 1 2 20 5 7 15 76
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets 0 0 0 268 0 0 0 692
Gain, Loss, and Asset Pricing 0 0 1 129 1 1 4 321
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 1 3 18 906 2 9 54 2,358
Large Dynamic Covariance Matrices 0 0 4 14 0 2 10 82
Numerical implementation of the QuEST function 0 0 0 1 0 0 0 28
Robust Structure without Predictability: The "Compass Rose" Pattern of the Stock Market 0 0 2 79 0 0 4 377
Robust performance hypothesis testing with the Sharpe ratio 0 2 10 184 4 16 49 874
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions 0 1 2 21 0 1 6 79
Total Journal Articles 2 8 43 1,773 13 41 173 5,470


Statistics updated 2025-07-04