Olivier Ledoit

Profile photo of Olivier Ledoit
 

Visiting Professor of Finance

About

 

Biography

Olivier Ledoit is visiting professor of finance at the UCLA Anderson School of Management. His other positions are: senior research associate in the Department of Economics at the University of Zurich; partner at AlphaCrest Capital Management LLC  in New York; and managing director for Studdridge International Ltd. in Hong Kong. He is the author of 20 academic papers published in peer-reviewed academic journals in the fields of probability theory, statistics, finance, economics and marketing.

Ledoit’s work on improved estimation of large-dimensional covariance matrices has been used beyond finance by scientists in the fields of cancer research, chemistry, civil engineering, climatology, electrical engineering, genetics, geology, neuroscience, psychology and speech recognition.

His prior professional activities include: Lieutenant in the French Marine Corps; assistant professor of finance (tenure track) at UCLA Anderson School of Management; managing director in the equity proprietary trading division of Credit Suisse First Boston, reponsible for statistical arbitrage; and visiting professor of finance at École des Hautes Études Commerciales (HEC) in Paris. Ledoit was awarded the Roger F. Murray Prize by the Q Group for his research on large-dimensional covariance matrix estimation.

 

Education

Ph.D. Finance, 1995, Massachusetts Institute of Technology
M.Sc. Statistics and Economics, 1992, École Nationale de la Statistiques et de l’Administration Économique, Paris
B.Sc. Engineering, 1990, École Polytechnique, Paris