Olivier Ledoit
Impact in
- Finance top 0.1%
- Financial Markets and Investment Strategies
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Statistics and Probability top 0.2%
- Statistical Methods and Inference
Papers in
- Finance 33
- Financial Risk and Volatility Modeling 23
- Financial Markets and Investment Strategies 17
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- Complex Systems and Time Series Analysis 19
- Market Dynamics and Volatility 7
- Co-authors
- Michael Wolf (35 shared papers)Anders Johansen (2 shared papers)Didier Sornette (2 shared papers)Antonio E. Bernardo (2 shared papers)Pedro Santa‐Clara (3 shared papers)Sandrine Péché (2 shared papers)Robert F. Engle (3 shared papers)Timothy Falcon Crack (5 shared papers)
- Journals
- Journal of Financial Econometrics (4 papers)The Annals of Statistics (3 papers)Journal of Empirical Finance (2 papers)Journal of Multivariate Analysis (2 papers)The Journal of Finance (2 papers)
- Partner nations
- SwitzerlandUnited StatesChina
In The Last Decade
Olivier Ledoit
53 papers receiving 5.8k citations
Olivier Ledoit's Hit Papers
Peers
Comparison fields: 5 of 136
- Finance 3.4k
- Statistics and Probability 1.1k
- Management Science and Operations Research 1.4k
- Economics and Econometrics 2.4k
- General Economics, Econometrics and Finance 727
Countries citing papers authored by Olivier Ledoit
This map shows the geographic impact of Olivier Ledoit's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Olivier Ledoit with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Olivier Ledoit more than expected).
Fields of papers citing papers by Olivier Ledoit
This network shows the impact of papers produced by Olivier Ledoit. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Olivier Ledoit. The network helps show where Olivier Ledoit may publish in the future.
Co-authors
The 15 scholars most cited alongside Olivier Ledoit, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
Showing the 20 most-cited of 55 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | A well-conditioned estimator for large-dimensional covariance matrices Hit paper breakdown → | 2003 | 1726 |
| 2 | Improved estimation of the covariance matrix of stock returns with an application to portfolio selection Hit paper breakdown → | 2003 | 1036 |
| 3 | Robust performance hypothesis testing with the Sharpe ratio Hit paper breakdown → | 2008 | 623 |
| 4 | 2000 | 326 | |
| 5 | 2000 | 300 | |
| 6 | 2012 | 263 | |
| 7 | 1999 | 200 | |
| 8 | 2003 | 179 | |
| 9 | 2017 | 176 | |
| 10 | 2017 | 152 | |
| 11 | 2003 | 116 | |
| 12 | 2010 | 105 | |
| 13 | 2015 | 104 | |
| 14 | 2011 | 103 | |
| 15 | 2020 | 91 | |
| 16 | 2017 | 56 | |
| 17 | 2011 | 56 | |
| 18 | 2018 | 56 | |
| 19 | 1998 | 55 | |
| 20 | 2002 | 39 |
About Olivier Ledoit
Olivier Ledoit is a scholar working on Finance, Economics and Econometrics, Statistics and Probability, General Economics, Econometrics and Finance and Management Science and Operations Research, having authored 55 papers that have together received 6.1k indexed citations. Recurring topics across this work include Financial Risk and Volatility Modeling (23 papers), Complex Systems and Time Series Analysis (19 papers), Financial Markets and Investment Strategies (17 papers), Random Matrices and Applications (14 papers), Monetary Policy and Economic Impact (9 papers), Blind Source Separation Techniques (7 papers), Market Dynamics and Volatility (7 papers) and Statistical Methods and Bayesian Inference (6 papers). The work is most often cited by research in Finance (3.4k citations), Statistics and Probability (1.1k citations), Management Science and Operations Research (1.4k citations), Economics and Econometrics (2.4k citations) and General Economics, Econometrics and Finance (727 citations). Olivier Ledoit has collaborated with scholars based in Switzerland, United States and China. Frequent co-authors include Michael Wolf, Anders Johansen, Didier Sornette, Antonio E. Bernardo, Pedro Santa‐Clara, Sandrine Péché, Robert F. Engle, Timothy Falcon Crack, Michael S. Wolf and David R. Bell. Their work appears in journals such as Journal of Financial Econometrics, The Annals of Statistics, Journal of Empirical Finance, Journal of Multivariate Analysis and The Journal of Finance.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.