Taras Bodnar

Publication Activity (10 Years)

Years Active: 2009-2024
Publications (10 Years): 22

Top Topics

Optimal Portfolio

Bayesian Inference

Portfolio Selection

Top Venues

J. Multivar. Anal.

IEEE Trans. Signal Process.

Comput. Manag. Sci.

Eur. J. Oper. Res.

Publications

Christian Genest, Ostap Okhrin, Taras Bodnar
Copula modeling from Abe Sklar to the present day. J. Multivar. Anal. 201 (2024)
Christian Genest, Ostap Okhrin, Taras Bodnar
Preface to the Special Issue "Copula modeling from Abe Sklar to the present day". J. Multivar. Anal. 201 (2024)
Olha Bodnar, Taras Bodnar
Gibbs sampler approach for objective Bayesian inference in elliptical multivariate meta-analysis random effects model. Comput. Stat. Data Anal. 197 (2024)
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)
Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén
Bayesian portfolio selection using VaR and CVaR. Appl. Math. Comput. 427 (2022)
Olha Bodnar, Taras Bodnar, Nestor Parolya
Recent advances in shrinkage-based high-dimensional inference. J. Multivar. Anal. 188 (2022)
Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha
Quantile-based optimal portfolio selection. Comput. Manag. Sci. 18 (3) (2021)
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)
Stanislas Muhinyuza, Taras Bodnar, Mathias Lindholm
A test on the location of the tangency portfolio on the set of feasible portfolios. Appl. Math. Comput. 386 (2020)
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, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy
Determination and estimation of risk aversion coefficients. Comput. Manag. Sci. 15 (2) (2018)
Taras Bodnar, Stepan Mazur, Yarema Okhrin
Bayesian estimation of the global minimum variance portfolio. Eur. J. Oper. Res. 256 (1) (2017)
Taras Bodnar, Stepan Mazur, Krzysztof Podgórski
Singular inverse Wishart distribution and its application to portfolio theory. J. Multivar. Anal. 143 (2016)
Taras Bodnar, Markus Reiß
Exact and asymptotic tests on a factor model in low and large dimensions with applications. J. Multivar. Anal. 150 (2016)
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)
Arjun K. Gupta, Taras Bodnar
An exact test about the covariance matrix. J. Multivar. Anal. 125 (2014)
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility. OR (2014)
Taras Bodnar, Stepan Mazur, Yarema Okhrin
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector. J. Multivar. Anal. 122 (2013)
Taras Bodnar, Yarema Okhrin
Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio? Appl. Math. Comput. 219 (10) (2013)
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)
Olha Bodnar, Taras Bodnar, Arjun K. Gupta
Estimation and inference for dependence in multivariate data. J. Multivar. Anal. 101 (4) (2010)
Olha Bodnar, Taras Bodnar, Yarema Okhrin
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution. Comput. Stat. Data Anal. 53 (9) (2009)