Narrow search
Showing 81 - 90 of 989
Cover Image
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
Cover Image
Robust performance hypothesis testing with smooth functions of population moments
Ledoit, Olivier; Wolf, Michael - 2018
Applied researchers often want to make inference for the difference of a given performance measure for two investment strategies. In this paper, we consider the class of performance measures that are smooth functions of population means of the underlying returns; this class is very rich and...
Persistent link: https://www.econbiz.de/10011925992
Cover Image
Honey, I shrunk the sample covariance matrix
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002055527
Cover Image
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001625987
Cover Image
Flexible multivariate GARCH modeling with an application to international stock markets
Ledoit, Olivier (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001625994
Cover Image
Improved estimation of the covariance matrix of stock returns with an application to portofolio selection
Ledoit, Olivier (contributor); Wolf, Michael (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001627199
Cover Image
Gain, loss, and asset pricing
Bernardo, Antonio E.; Ledoit, Olivier - In: Journal of political economy 108 (2000) 1, pp. 144-172
Persistent link: https://www.econbiz.de/10001454797
Cover Image
Crashes as critical points
Johansen, Anders; Ledoit, Olivier; Sornette, Didier - In: International journal of theoretical and applied finance 3 (2000) 2, pp. 219-255
Persistent link: https://www.econbiz.de/10001484696
Cover Image
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
Cover Image
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