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Ledoit, Olivier [Author]; Wolf, Michael [Author]

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

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Zurich: University of Zurich, Department of Economics, 2020
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

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http://hdl.handle.net/10419/201532

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Zurich: University of Zurich, Department of Economics, 2019
Bodnar, Taras [Author]; Okhrin, Yarema [Author]; Parolya, Nestor [Author]

Optimal shrinkage-based portfolio selection in high dimensions

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2023

Published in: Journal of business & economic statistics ; 41(2023), 1, Seite 140-156
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Quadratic Shrinkage for Large Covariance Matrices

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https://ssrn.com/abstract=3486378

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[S.l.]: SSRN, [2020]

Published in: University of Zurich, Departmenf of Economics, Working Paper ; No. 335, Revised version
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Quadratic shrinkage for large covariance matrices

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http://hdl.handle.net/10419/228874

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Zurich: University of Zurich, Department of Economics, 2020
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Quadratic shrinkage for large covariance matrices

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http://hdl.handle.net/10419/206851

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Zurich: University of Zurich, Department of Economics, 2019
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Direct nonlinear shrinkage estimation of large-dimensional covariance matrices

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http://hdl.handle.net/10419/173422

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Zurich: University of Zurich, Department of Economics, 2017
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks

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http://hdl.handle.net/10419/162407

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Zurich: University of Zurich, Department of Economics, 2017
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Numerical implementation of the QuEST function

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http://hdl.handle.net/10419/162418

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Zurich: University of Zurich, Department of Economics, 2017
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Optimal estimation of a large-dimensional covariance matrix under Stein's loss

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http://hdl.handle.net/10419/162405

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Zurich: University of Zurich, Department of Economics, 2017
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks

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http://hdl.handle.net/10419/111195

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Zurich: University of Zurich, Department of Economics, 2014
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Optimal estimation of a large-dimensional covariance matrix under Stein's loss

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http://hdl.handle.net/10419/92396

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Zurich: University of Zurich, Department of Economics, 2013
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Shrinkage estimation of large covariance matrices : keep it simple, statistician? - [This version: June 2021]

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https://www.zora.uzh.ch/id/eprint/172202/13/econwp327.pdf

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Zurich: University of Zurich, Department of Economics, [2021]

Published in: Universität Zürich: Working paper series ; 327
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

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http://hdl.handle.net/10419/235610

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Zurich: University of Zurich, Department of Economics, 2021
Ledoit, Olivier [Author]; Wolf, Michael [Author]

The power of (non-)linear shrinking: A review and guide to covariance matrix estimation

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http://hdl.handle.net/10419/214188

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Zurich: University of Zurich, Department of Economics, 2020
Ledoit, Olivier [Author]; Wolf, Michael [Author]

The power of (non-)linear shrinking: A review and guide to covariance matrix estimation

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http://hdl.handle.net/10419/200186

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Zurich: University of Zurich, Department of Economics, 2019
Bodnar, Taras [Author]; Mazur, Stepan [Author]; Parolya, Nestor [Author]

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

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http://hdl.handle.net/10419/244527

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Örebro: Örebro University School of Business, 2017
Bodnar, Taras [Author]; Mazur, Stepan [Author]; Ngailo, Edward [Author]; Parolya, Nestor [Author]

Discriminant analysis in small and large dimensions

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http://hdl.handle.net/10419/244528

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Örebro: Örebro University School of Business, 2017
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Optimal estimation of a large-dimensional covariance matrix under Stein's loss

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http://hdl.handle.net/10419/77592

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Zurich: University of Zurich, Department of Economics, 2013
Ledoit, Olivier [Author]; Wolf, Michael [Author]

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

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http://hdl.handle.net/10419/77590

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Zurich: University of Zurich, Department of Economics, 2013

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