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Universität Zürich (UZH)
Institut für Volkswirtschaftslehre, Universität Zürich
Working Paper Series, Department of Economics, University of Zurich
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Universität Zürich (UZH)
Institut für Volkswirtschaftslehre, Universität Zürich
Working Paper Series, Department of Economics, University of Zurich
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Results 1-10 of 33.
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Year of Publication
Title
Author(s)
2021
Shrinkage estimation of large covariance matrices: Keep it simple, statistician?
Ledoit, Olivier
;
Wolf, Michael
2023
A novel estimator of earth's curvature (allowing for inference as well)
Bell, David R.
;
Ledoit, Olivier
;
Wolf, Michael
2022
Markowitz portfolios under transaction costs
Ledoit, Olivier
;
Wolf, Michael
2022
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
2023
A novel estimator of earth's curvature (allowing for inference as well)
Bell, David R.
;
Ledoit, Olivier
;
Wolf, Michael
2020
The power of (non-)linear shrinking: A review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
2014
Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks
Ledoit, Olivier
;
Wolf, Michael
2019
Quadratic shrinkage for large covariance matrices
Ledoit, Olivier
;
Wolf, Michael
2020
Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage
Zhao, Zhao
;
Ledoit, Olivier
;
Jiang, Hui
2021
Large dynamic covariance matrices: Enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
;
Wolf, Michael
Author
28
Wolf, Michael
4
Bell, David R.
4
De Nard, Gianluca
4
Engle, Robert F.
3
Zhao, Zhao
2
Jiang, Hui
1
Lotz, Sébastian
year of Publication
12
2020 - 2024
21
2011 - 2019