Olivier Ledoit

10.4k total citations · 3 hit papers
55 papers, 6.1k citations indexed

About

Olivier Ledoit is a scholar working on Finance, Economics and Econometrics and Statistics and Probability. According to data from OpenAlex, Olivier Ledoit has authored 55 papers receiving a total of 6.1k indexed citations (citations by other indexed papers that have themselves been cited), including 33 papers in Finance, 24 papers in Economics and Econometrics and 17 papers in Statistics and Probability. Recurrent topics in Olivier Ledoit's work include Financial Risk and Volatility Modeling (23 papers), Complex Systems and Time Series Analysis (19 papers) and Financial Markets and Investment Strategies (17 papers). Olivier Ledoit is often cited by papers focused on Financial Risk and Volatility Modeling (23 papers), Complex Systems and Time Series Analysis (19 papers) and Financial Markets and Investment Strategies (17 papers). Olivier Ledoit collaborates with scholars based in Switzerland, United States and China. Olivier Ledoit's co-authors include Michael Wolf, Anders Johansen, Didier Sornette, Antonio E. Bernardo, Pedro Santa‐Clara, Sandrine Péché, Robert F. Engle, Michael S. Wolf, Timothy Falcon Crack and David R. Bell and has published in prestigious journals such as The Journal of Finance, Journal of Political Economy and Review of Financial Studies.

In The Last Decade

Olivier Ledoit

53 papers receiving 5.8k citations

Hit Papers

A well-conditioned estima... 2003 2026 2010 2018 2003 2003 2008 500 1000 1.5k
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. A well-conditioned estimator for large-dimensional covariance matrices
    2003 1.7k citations Olivier Ledoit, Michael Wolf Journal of Multivariate Analysis profile →
  2. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
    2003 1.0k citations Olivier Ledoit, Michael Wolf Journal of Empirical Finance profile →
  3. Robust performance hypothesis testing with the Sharpe ratio
    2008 623 citations Olivier Ledoit, Michael Wolf Journal of Empirical Finance profile →

Author Peers

Peers are selected by citation overlap in the author's most active subfields. citations · hero ref

Author Last Decade Papers Cites
Olivier Ledoit 3.4k 2.4k 1.4k 1.1k 727 55 6.1k
Dimitris N. Politis 3.0k 0.9× 2.5k 1.0× 844 0.6× 2.2k 2.0× 1.6k 2.2× 153 6.8k
Albert N. Shiryaev 6.2k 1.8× 2.3k 1.0× 1.8k 1.3× 1.8k 1.6× 301 0.4× 159 10.1k
Jan Beran 2.6k 0.8× 2.9k 1.2× 294 0.2× 875 0.8× 468 0.6× 97 6.3k
L. C. G. Rogers 4.9k 1.4× 2.1k 0.9× 1.2k 0.9× 1.1k 1.0× 323 0.4× 131 8.1k
Melvin J. Hinich 873 0.3× 3.0k 1.2× 495 0.4× 222 0.2× 628 0.9× 175 6.1k
Gennady Samorodnitsky 2.2k 0.6× 1.2k 0.5× 1.2k 0.9× 718 0.7× 150 0.2× 192 4.6k
Rama Cont 4.9k 1.4× 3.7k 1.5× 1.4k 1.0× 290 0.3× 410 0.6× 138 6.6k
Neil Shephard 9.8k 2.9× 7.0k 2.9× 1.1k 0.8× 1.9k 1.7× 3.2k 4.4× 118 14.0k
Svetlozar T. Rachev 2.9k 0.9× 1.9k 0.8× 1.4k 1.0× 898 0.8× 503 0.7× 234 5.4k
Philip Protter 5.8k 1.7× 2.2k 0.9× 1.2k 0.8× 664 0.6× 389 0.5× 116 7.3k

Countries citing papers authored by Olivier Ledoit

Since Specialization
Citations

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

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

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-authorship network of co-authors of Olivier Ledoit

This figure shows the co-authorship network connecting the top 25 collaborators of Olivier Ledoit. A scholar is included among the top collaborators of Olivier Ledoit based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Olivier Ledoit. Olivier Ledoit is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Ledoit, Olivier & Michael Wolf. (2025). Markowitz portfolios under transaction costs. The Quarterly Review of Economics and Finance. 100. 101962–101962. 1 indexed citations
2.
Ledoit, Olivier, et al.. (2024). Improved Tracking-Error Management for Active and Passive Investing. The Journal of Portfolio Management. 51(4). 40–62.
3.
Bell, David, Olivier Ledoit, & Michael Wolf. (2024). A novel estimator of Earth’s curvature (Allowing for inference as well). The Annals of Applied Statistics. 18(1).
4.
Zhao, Zhao, et al.. (2021). Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix. Journal of Financial Econometrics. 21(1). 73–105. 6 indexed citations
5.
Zhao, Zhao, et al.. (2020). Risk reduction and efficiency increase in large portfolios: leverage and shrinkage. Zurich Open Repository and Archive (University of Zurich). 1 indexed citations
6.
Ledoit, Olivier & Michael Wolf. (2019). The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation. Journal of Financial Econometrics. 20(1). 187–218. 16 indexed citations
7.
Ledoit, Olivier, et al.. (2018). Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies. Journal of Financial Econometrics. 16 indexed citations
8.
Ledoit, Olivier & Michael Wolf. (2017). Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks. Zurich Open Repository and Archive (University of Zurich). 56 indexed citations
9.
Ledoit, Olivier & Michael Wolf. (2017). Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks. Review of Financial Studies. 30(12). 4349–4388. 176 indexed citations
10.
Engle, Robert F., Olivier Ledoit, & Michael Wolf. (2017). Large Dynamic Covariance Matrices. Journal of Business and Economic Statistics. 37(2). 363–375. 152 indexed citations
11.
Ledoit, Olivier & Michael Wolf. (2015). Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions. Journal of Multivariate Analysis. 139. 360–384. 104 indexed citations
12.
Ledoit, Olivier. (2011). The redistributive effects of monetary policy. Zurich Open Repository and Archive (University of Zurich). 12 indexed citations
13.
Ledoit, Olivier, et al.. (2011). The Coexistence of Commodity Money and Fiat Money. SSRN Electronic Journal. 1 indexed citations
14.
Crack, Timothy Falcon & Olivier Ledoit. (2010). Central Limit Theorems When Data Are Dependent: Addressing the Pedagogical Gaps. Zurich Open Repository and Archive (University of Zurich). 2 indexed citations
15.
Ledoit, Olivier & Michael Wolf. (2008). Robust performance hypothesis testing with the Sharpe ratio. Journal of Empirical Finance. 15(5). 850–859. 623 indexed citations breakdown →
16.
Ledoit, Olivier & Michael Wolf. (2003). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis. 88(2). 365–411. 1726 indexed citations breakdown →
17.
Ledoit, Olivier & Michael Wolf. (2003). Honey, I Shrunk the Sample Covariance Matrix. SSRN Electronic Journal. 116 indexed citations
18.
Ledoit, Olivier, Pedro Santa‐Clara, & Michael Wolf. (2002). Flexible Multivariate GARCH Modeling with an Application to International Stock Markets. SSRN Electronic Journal. 19 indexed citations
19.
Johansen, Anders, Olivier Ledoit, & Didier Sornette. (2000). CRASHES AS CRITICAL POINTS. International Journal of Theoretical and Applied Finance. 3(2). 219–255. 326 indexed citations
20.
Bernardo, Antonio E. & Olivier Ledoit. (2000). Gain, Loss, and Asset Pricing. SSRN Electronic Journal. 27 indexed citations

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.

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