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Publications by Olivier Ledoit

Optimal Estimation of a Large-Dimensional Covariance Matrix Under Stein’s Loss

English

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation

SSRN Electronic Journal

English

A New Portfolio Formation Approach to Mispricing of Marketing Performance Indicators: An Application to Customer Satisfaction

Customer Needs and Solutions

English

Shrinkage Estimation of Large Covariance Matrices: Keep It Simple, Statistician?

SSRN Electronic Journal

English

Risk Reduction and Efficiency Increase in Large Portfolios: Leverage and Shrinkage

SSRN Electronic Journal

English

Flexible Multivariate GARCH Modeling With an Application to International Stock Markets

Review of Economics and Statistics

Social Sciences

English

Central Limit Theorems When Data Are Dependent: Addressing the Pedagogical Gaps

SSRN Electronic Journal

English