Olivier Ledoit

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Visiting Professor

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Biography

Olivier Ledoit is Visiting Professor of Finance at the UCLA Anderson School of Management. His other positions are: Senior Research Associate, Department of Economics, University of Zurich (Switzerland); Partner, AlphaCrest Capital Management LLC (New York); and Managing Director, Studdridge International Ltd (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.

Olivier 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. He holds a PhD in Finance from the Massachusetts Institute of Technology (1995), MSc in Statistics and Economics from the École Nationale de la Statistiques et de l’Administration Économique in Paris (1992), and BSc in Engineering from École Polytechnique in Paris (1990).

His prior professional activities include: Lieutenant in the French Marines; 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. Olivier Ledoit was awarded the Roger F. Murray Prize by the Q Group for his research on large-dimensional covariance matrix estimation.