Michael Wolf (born June 1, 1967) holds the Chair of Econometrics and Applied Statistics in the Department of Economics at the University of Zurich, Switzerland.
While originally motivated by Markowitz portfolio selection, the linear shrinkage estimator he developed in collaboration with Olivier Ledoit has been widely adopted by other researchers in a variety of scientific fields such as cancer research,[1] chemistry,[2] civil engineering,[3] climatology,[4] electrical engineering,[5] genetics,[6] geology,[7] neuroscience,[8] psychology,[9] speech recognition,[10] etc.
By contrast, the Ledoit-Wolf estimator is more accurate and guaranteed to be well-conditioned, even in the difficult case where matrix dimension exceeds sample size.
Michael Wolf also co-wrote the book on Subsampling, a resampling method inspired by the jackknife that constitutes an alternative to the bootstrap.
He was invited to give the prestigious Gumbel Lecture at the Annual Meeting of the German Statistical Society in Cologne in 2008.