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Department of Economics


Journal Papers

Zhao, Z., Ledoit, O., and Jiang, H. (2023). Risk reduction and efficiency increase in large portfolios: Gross-exposure constraints and shrinkage of the covariance matrix. Journal of Financial Econometrics, 21:73-105. (PDF, 853 KB)

Ledoit, O. and Wolf, M. (2022). Quadratic shrinkage for large covariance matrices. Bernoulli, 28:1519-1547. (PDF, 675 KB)
De Nard, G., Engle, R.F., Ledoit, O., and Wolf, M. (2022). Large dynamic covariance matrices: Enhancements based on intraday data. Journal of Banking and Finance, 138:106426. (PDF, 2 MB)
Ledoit, O. and Wolf, M. (2022). The power of (non-)linear shrinking: A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20:187-218. (PDF, 416 KB)
Ledoit, O. and Wolf, M. (2021). Shrinkage estimation of large covariance matrices: Keep it simple, statistician? Journal of Multivariate Analysis, 186:104796. (PDF, 921 KB)
De Nard, G., Ledoit, O., and Wolf, M. (2021). Factor models for portfolio selection in large dimensions: The good, the better and the ugly. Journal of Financial Econometrics, 19:236-257. (PDF, 249 KB)
Ledoit, O. and Wolf, M. (2020). Analytical nonlinear shrinkage of large-dimensional covariance matrices. Annals of Statistics, 48:3043-3065. (PDF, 699 KB)

Ledoit, O., Wolf, M., and Zhao Z. (2019). Efficient sorting: A more powerful test for cross-sectional anomalies. Journal of Financial Econometrics 17:645-686. (PDF, 515 KB)

Engle, R.F., Ledoit, O., and Wolf. M. (2019). Large dynamic covariance matrices. Journal of Business & Economic Statistics, 37:363-375. (PDF, 599 KB)

Ledoit, O. and Wolf, M. (2018). Optimal estimation of a large-dimensional covariance matrix under Stein's Loss. Bernoulli, 24:3791-3832 (PDF, 759 KB). Supplementary Material (PDF, 270 KB)

Ledoit, O. and Wolf, M. (2017). Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Review of Financial Studies, 30:4349-4388. (PDF, 448 KB) Supplementary Material (PDF, 330 KB)

Ledoit, O. and Wolf. M. (2017). Numerical implementation of the QuEST function. Computational Statistics & Data Analysis 115, 199-223. (PDF, 1 MB)
Matlab code

Ledoit, O. and Wolf, M. (2015). Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions. Journal of Multivariate Analysis 139, 360-384. (PDF, 885 KB)
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. (PDF, 344 KB)
Ledoit, O. and Wolf, M. (2012). Nonlinear shrinkage estimation of large-dimensional covariance matrices. (PDF, 590 KB) Annals of Statistics 40, 1024-1060. (PDF, 575 KB)
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. (PDF, 484 KB)
Ledoit, O. and Wolf, M. (2011). Robust performance hypothesis testing with the variance (PDF, 118 KB) Wilmott Magazine, September, 86-89. (PDF, 115 KB)
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. (PDF, 300 KB)
Ledoit, O. and Wolf, M. (2008). Robust performance hypothesis testing with the Sharpe ratio. (PDF, 309 KB) Journal of Empirical Finance, 15, 850-859. (PDF, 301 KB)
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. (PDF, 162 KB)
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. (PDF, 494 KB)
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. (PDF, 193 KB)
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. (PDF, 225 KB)
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. (PDF, 190 KB)
Bernardo, A.E. and Ledoit, O. (2000). Gain, loss and asset pricing. (PDF, 373 KB) Journal of Political Economy 108, 144-172. (PDF, 364 KB)
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. (PDF, 2 MB)
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. (PDF, 640 KB)
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. (PDF, 2 MB)

Working Papers

Weiterführende Informationen


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