Nestor Parolya

Publication Activity (10 Years)

Years Active: 2013-2023
Publications (10 Years): 12

Top Topics

Bayesian Inference

Utility Function

Top Venues

J. Multivar. Anal.

IEEE Trans. Signal Process.

Eur. J. Oper. Res.

Ann. Oper. Res.

Publications

Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, Wolfgang Schmid
Multi-period power utility optimization under stock return predictability. Comput. Manag. Sci. 20 (1) (2023)
Taras Bodnar, Nestor Parolya, Erik Thorsén
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. IEEE Trans. Signal Process. 71 (2023)
Olha Bodnar, Taras Bodnar, Nestor Parolya
Recent advances in shrinkage-based high-dimensional inference. J. Multivar. Anal. 188 (2022)
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya, Wolfgang Schmid
Statistical Inference for the Expected Utility Portfolio in High Dimensions. IEEE Trans. Signal Process. 69 (2021)
David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid
Bayesian inference of the multi-period optimal portfolio for an exponential utility. J. Multivar. Anal. 175 (2020)
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting. IEEE Trans. Signal Process. 67 (17) (2019)
Taras Bodnar, Ostap Okhrin, Nestor Parolya
Optimal shrinkage estimator for high-dimensional mean vector. J. Multivar. Anal. 170 (2019)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
Estimation of the global minimum variance portfolio in high dimensions. Eur. J. Oper. Res. 266 (1) (2018)
Taras Bodnar, Holger Dette, Nestor Parolya
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix. J. Multivar. Anal. 148 (2016)
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
Direct shrinkage estimation of large dimensional precision matrix. J. Multivar. Anal. 146 (2016)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function. Ann. Oper. Res. 229 (1) (2015)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability. Eur. J. Oper. Res. 246 (2) (2015)
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix. J. Multivar. Anal. 132 (2014)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility. OR (2014)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
On the equivalence of quadratic optimization problems commonly used in portfolio theory. Eur. J. Oper. Res. 229 (3) (2013)