Table of contents

Journal Papers

Bell, D.R., Ledoit, O., and Wolf, M. (2014). A new portfolio formation approach to mispricing of marketing performance indicators: an application to customer satisfaction. (PDF, 353 KB) Customer Needs and Solutions 1, 263-276.
Ledoit, O. and Wolf, M. (2012). Nonlinear shrinkage estimation of large-dimensional covariance matrices. (PDF, 590 KB) Annals of Statistics 40, 1024-1060.
Ledoit, O. and Péché, S. (2011). Eigenvectors of some large sample covariance matrix ensembles (PDF, 496 KB) Probability Theory and Related Fields 151.1, 233-264.
Ledoit, O. and Wolf, M. (2011). Robust performance hypothesis testing with the variance (PDF, 118 KB) Wilmott Magazine, September, 86-89.
Ledoit, O. and Crack, T. F. (2010). Using Central Limit Theorems for Dependent Data (PDF, 308 KB) Journal of Financial Education, 36(1/2), 38-60.
Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. (PDF, 309 KB) Journal of Empirical Finance, 15, 850-859.
Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. (PDF, 166 KB) Journal of Portfolio Management, 30, Volume 4, 110-119.
Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. (PDF, 506 KB) Journal of Multivariate Analysis 88, 365-411.
Ledoit, O. and Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (PDF, 198 KB) Journal of Empirical Finance 10, 603-621.
Ledoit, O., Santa-Clara, P., and Wolf, M. (2003). Flexible multivariate GARCH modeling with an application to international stock markets. (PDF, 231 KB) Review of Economics and Statistics 85, 735-747.
Ledoit, O. and Wolf, M. (2002). Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size. (PDF, 195 KB) Annals of Statistics 30, 1081-1102.
Bernardo, A.E. and Ledoit, O. (2000). Gain, loss and asset pricing. (PDF, 373 KB) Journal of Political Economy 108, 144-172.
Johansen, A., Sornette, D., and Ledoit, O. (2000). Crashes as critical points. (PDF, 2.66 MB) International Journal of Theoretical and Applied Finance 3, 219-255.
Johansen, A., Sornette, D., and Ledoit, O. (1999). Predicting financial crashes using discrete scale invariance. (PDF, 656 KB) Journal of Risk, Volume 1, Number 4, Summer 1999, 5-32.
Crack, T.F., and Ledoit, O. (1996). Robust structure without predictability: the "compass rose" pattern of the stock market. (PDF, 2.82 MB) Journal of Finance 51, 751-762.

Working Papers