articleJournal of Empirical FinanceApr 30, 2003Closed access

Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

OLOlivier LedoitMWMichael Wolf

Anderson University - South Carolina · University of California, Los Angeles · +1 more institution

Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

1,709
total citations
FWCI
22.29
Percentile
100%
References
34
Citations per year

Authors

2

Topics & keywords

Topics
Keywords
  • Shrinkage estimator
  • Covariance matrix
  • Econometrics
  • Estimator
  • Estimation of covariance matrices
  • Covariance
  • Stock (firearms)
  • Portfolio
UN Sustainable Development Goals
  • Peace, Justice and strong institutions
No related works found for this paper.

Funding