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Robust performance hypothesis testing with the Sharpe ratio
Ledoit, Olivier; Wolf, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 850-859
Persistent link: https://www.econbiz.de/10003776371
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Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
Ledoit, Olivier; Wolf, Michael - In: Journal of empirical finance 10 (2003) 5, pp. 603-621
Persistent link: https://www.econbiz.de/10001806971
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Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, Olivier; Santa-Clara, Pedro; Wolf, Michael - In: The review of economics and statistics 85 (2003) 3, pp. 735-747
Persistent link: https://www.econbiz.de/10001791792
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Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca; Ledoit, Olivier; Wolf, Michael - In: Journal of financial econometrics 19 (2021) 2, pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
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The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier; Wolf, Michael - In: Journal of financial econometrics 20 (2022) 1, pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
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Nonlinear shrinkage of the covariance matrix for portfolio selection : Markowitz meets Goldilocks
Ledoit, Olivier; Wolf, Michael - In: The review of financial studies 30 (2017) 12, pp. 4349-4388
Persistent link: https://www.econbiz.de/10011924578
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Large dynamic covariance matrices
Engle, Robert F.; Ledoit, Olivier; Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 363-375
Persistent link: https://www.econbiz.de/10012178181
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Efficient sorting : a more powerful test for cross-sectional anomalies
Ledoit, Olivier; Wolf, Michael; Zhao, Zhao - In: Journal of financial econometrics 17 (2019) 4, pp. 645-686
Persistent link: https://www.econbiz.de/10012152240
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Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
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Stock returns and dividend yields revisited : a new way to look at an old problem
Wolf, Michael - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 18-30
Persistent link: https://www.econbiz.de/10001441585