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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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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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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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Risk reduction and efficiency increase in large portfolios : gross-exposure constraints and shrinkage of the covariance matrix
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - In: Journal of financial econometrics 21 (2023) 1, pp. 73-105
Persistent link: https://www.econbiz.de/10013542850