Browsing All of EconStor by Author Ledoit, Olivier


Showing results 21 to 33 of 33
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Year of PublicationTitleAuthor(s)
2019The power of (non-)linear shrinking: A review and guide to covariance matrix estimationLedoit, Olivier; Wolf, Michael
2020The power of (non-)linear shrinking: A review and guide to covariance matrix estimationLedoit, Olivier; Wolf, Michael
2020Risk reduction and efficiency increase in large portfolios: Leverage and shrinkageZhao, Zhao; Ledoit, Olivier; Jiang, Hui
2020Shrinkage estimation of large covariance matrices: Keep it simple, statistician?Ledoit, Olivier; Wolf, Michael
2020Quadratic shrinkage for large covariance matricesLedoit, Olivier; Wolf, Michael
2020Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2021Shrinkage estimation of large covariance matrices: Keep it simple, statistician?Ledoit, Olivier; Wolf, Michael
2021Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2022Markowitz portfolios under transaction costsLedoit, Olivier; Wolf, Michael
2022Large dynamic covariance matrices: Enhancements based on intraday dataDe Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; Wolf, Michael
2023A novel estimator of earth's curvature (allowing for inference as well)Bell, David R.; Ledoit, Olivier; Wolf, Michael
2023A novel estimator of earth's curvature (allowing for inference as well)Bell, David R.; Ledoit, Olivier; Wolf, Michael
2024Markowitz portfolios under transaction costsLedoit, Olivier; Wolf, Michael