Studdridge Publications

  1. Ledoit, O. and Wolf, M. (2003). Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (PDF, 193 KB). Journal of Empirical Finance 10, 603-621.
  2. Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. (PDF, 495 KB). Journal of Multivariate Analysis 88, 365-411.
  3. Ledoit, O. and Wolf, M. (2004). Honey, I shrunk the sample covariance matrix. (PDF, 162 KB). Journal of Portfolio Management, 30, Volume 4, 110-119.
  4. Ledoit, O. and Péché, S. (2011). Eigenvectors of some large sample covariance matrix ensembles (PDF, 485 KB). Probability Theory and Related Fields 151.1, 233-264.
  5. Ledoit, O. and Wolf, M. (2012). Nonlinear shrinkage estimation of large-dimensional covariance matrices. (PDF, 576 KB). Annals of Statistics 40, 1024-1060.

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