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Taras Bodnar
Taras Bodnar
Подтвержден адрес электронной почты в домене math.su.se - Главная страница
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Процитировано
Процитировано
Год
Elliptically contoured models in statistics and portfolio theory
AK Gupta, T Varga, T Bodnar
Springer, 2013
1652013
Elliptically contoured models in statistics and portfolio theory
AK Gupta, T Varga, T Bodnar
Springer, 2013
1652013
Econometrical analysis of the sample efficient frontier
T Bodnar, W Schmid
The European journal of finance 15 (3), 317-335, 2009
982009
Bayesian estimation of the global minimum variance portfolio
T Bodnar, S Mazur, Y Okhrin
European Journal of Operational Research 256 (1), 292-307, 2017
892017
Estimation of the global minimum variance portfolio in high dimensions
T Bodnar, N Parolya, W Schmid
European Journal of Operational Research 266 (1), 371-390, 2018
792018
A test for the weights of the global minimum variance portfolio in an elliptical model
T Bodnar, W Schmid
Metrika 67, 127-143, 2008
782008
A test for the weights of the global minimum variance portfolio in an elliptical model
T Bodnar, W Schmid
Metrika 67, 127-143, 2008
782008
Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
T Bodnar, Y Okhrin
Journal of Multivariate Analysis 99 (10), 2389-2405, 2008
732008
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
D Bauder, T Bodnar, N Parolya, W Schmid
Quantitative Finance 21 (2), 221-242, 2021
522021
Singular inverse Wishart distribution and its application to portfolio theory
T Bodnar, S Mazur, K Podgórski
Journal of Multivariate Analysis 143, 314-326, 2016
502016
Direct shrinkage estimation of large dimensional precision matrix
T Bodnar, AK Gupta, N Parolya
Journal of Multivariate Analysis 146, 223-236, 2016
492016
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
T Bodnar, N Parolya, W Schmid
European Journal of Operational Research 246 (2), 528-542, 2015
442015
On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
T Bodnar, Y Okhrin
Scandinavian Journal of Statistics 38 (2), 311-331, 2011
442011
Estimation of optimal portfolio compositions for gaussian returns
T Bodnar, W Schmid
Statistics & Decisions 26 (3), 179-201, 2009
432009
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
T Bodnar, AK Gupta, N Parolya
Journal of Multivariate Analysis 132, 215-228, 2014
412014
Testing for independence of large dimensional vectors
T Bodnar, H Dette, N Parolya
The Annals of Statistics 47 (5), 2977-3008, 2019
392019
Optimal shrinkage-based portfolio selection in high dimensions
T Bodnar, Y Okhrin, N Parolya
Journal of Business & Economic Statistics 41 (1), 140-156, 2022
352022
On the equivalence of quadratic optimization problems commonly used in portfolio theory
T Bodnar, N Parolya, W Schmid
European Journal of Operational Research 229 (3), 637-644, 2013
332013
Minimum VaR and Minimum CVaR optimal portfolios: estimators, confidence regions, and tests
T Bodnar, W Schmid, T Zabolotskyy
Statistics & risk modeling 29 (4), 281-314, 2012
332012
How risky is the optimal portfolio which maximizes the Sharpe ratio?
T Bodnar, T Zabolotskyy
AStA Advances in Statistical Analysis 101, 1-28, 2017
292017
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