| Publication | Date of Publication | Type |
|---|
| Birge ratio method for modeling dark uncertainty in multivariate meta-analyses and inter-laboratory studies | 2025-01-03 | Paper |
| Gibbs sampler approach for objective Bayesian inference in elliptical multivariate meta-analysis random effects model | 2024-10-29 | Paper |
| Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio | 2024-09-12 | Paper |
| Optimal Shrinkage-Based Portfolio Selection in High Dimensions | 2024-08-13 | Paper |
| Copula modeling from Abe Sklar to the present day | 2024-03-25 | Paper |
| Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices | 2024-03-06 | Paper |
| Control charts for high-dimensional time series with estimated in-control parameters | 2024-02-02 | Paper |
| Multi-period power utility optimization under stock return predictability | 2023-12-14 | Paper |
| Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions | 2023-11-08 | Paper |
| Reverse stress testing in skew-elliptical models | 2023-10-12 | Paper |
| Sequential monitoring of high‐dimensional time series | 2023-10-11 | Paper |
| Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions | 2023-09-26 | Paper |
| Statistical Inference for the Expected Utility Portfolio in High Dimensions | 2022-09-23 | Paper |
| Estimation of sub-Gaussian random vectors using the method of moments | 2022-07-26 | Paper |
| Bayesian portfolio selection using VaR and CVaR | 2022-05-23 | Paper |
| Goodness-of-fit tests for centralized Wishart processes | 2022-05-20 | Paper |
| Multivariate Multiple Test Procedures | 2022-02-18 | Paper |
| Recent advances in shrinkage-based high-dimensional inference | 2022-01-03 | Paper |
| Quantile-based optimal portfolio selection | 2021-11-24 | Paper |
| Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty | 2021-06-02 | Paper |
| Mean-variance efficiency of optimal power and logarithmic utility portfolios | 2021-05-03 | Paper |
| A test on the location of the tangency portfolio on the set of feasible portfolios | 2021-03-16 | Paper |
| Multivariate elliptically contoured autoregressive process | 2021-02-04 | Paper |
| Discriminant analysis in small and large dimensions | 2020-08-26 | Paper |
| Estimating the proportion of true null hypotheses under dependency: a marginal bootstrap approach | 2020-06-15 | Paper |
| Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices | 2020-04-27 | Paper |
| On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension | 2020-03-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5216369 | 2020-02-17 | Paper |
| Bayesian inference of the multi-period optimal portfolio for an exponential utility | 2020-02-05 | Paper |
| Bayesian estimation of the efficient frontier | 2019-11-07 | Paper |
| Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting | 2019-10-28 | Paper |
| Testing for independence of large dimensional vectors | 2019-10-09 | Paper |
| Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory | 2019-08-09 | Paper |
| Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions | 2019-06-07 | Paper |
| Optimal shrinkage estimator for high-dimensional mean vector | 2019-03-21 | Paper |
| Multivariate multiple test procedures based on nonparametric copula estimation | 2019-02-28 | Paper |
| BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO | 2019-01-10 | Paper |
| Uncertainty quantification for the family-wise error rate in multivariate copula models | 2018-11-12 | Paper |
| How risky is the optimal portfolio which maximizes the Sharpe ratio? | 2018-11-12 | Paper |
| A test for the global minimum variance portfolio for small sample and singular covariance | 2018-11-12 | Paper |
| Determination and estimation of risk aversion coefficients | 2018-11-07 | Paper |
| Estimation of the global minimum variance portfolio in high dimensions | 2018-05-30 | Paper |
| Bayesian estimation of the global minimum variance portfolio | 2018-05-24 | Paper |
| Estimation of the global minimum variance portfolio in high dimensions | 2018-04-01 | Paper |
| Tests for the weights of the global minimum variance portfolio in a high-dimensional setting | 2017-10-26 | Paper |
| On the Simes inequality in elliptical models | 2017-05-29 | Paper |
| On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability | 2016-10-06 | Paper |
| Exact and asymptotic tests on a factor model in low and large dimensions with applications | 2016-08-18 | Paper |
| Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices | 2016-07-15 | Paper |
| The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility | 2016-05-19 | Paper |
| Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix | 2016-05-04 | Paper |
| Direct shrinkage estimation of large dimensional precision matrix | 2016-04-15 | Paper |
| Statistical inference procedure for the mean-variance efficient frontier with estimated parameters | 2016-02-25 | Paper |
| Distribution of the product of a singular Wishart matrix and a normal vector | 2016-02-24 | Paper |
| Singular inverse Wishart distribution and its application to portfolio theory | 2015-12-23 | Paper |
| A test for the weights of the global minimum variance portfolio in an elliptical model | 2015-10-14 | Paper |
| A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function | 2015-08-21 | Paper |
| On the equivalence of quadratic optimization problems commonly used in portfolio theory | 2015-07-28 | Paper |
| Robust surveillance of covariance matrices using a single observation | 2015-02-23 | Paper |
| False discovery rate control under Archimedean copula | 2014-11-12 | Paper |
| On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix | 2014-10-08 | Paper |
| Estimation of the precision matrix of a multivariate elliptically contoured stable distribution | 2014-03-14 | Paper |
| Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models | 2014-03-12 | Paper |
| An exact test about the covariance matrix | 2014-02-13 | Paper |
| Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio? | 2014-01-31 | Paper |
| On the exact and approximate distributions of the product of a Wishart matrix with a normal vector | 2014-01-13 | Paper |
| Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data | 2013-11-12 | Paper |
| An exact test for a column of the covariance matrix based on a single observation | 2013-08-01 | Paper |
| Elliptically Contoured Models in Statistics and Portfolio Theory | 2013-07-18 | Paper |
| Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests | 2012-12-03 | Paper |
| Construction and Inferences of the Efficient Frontier in Elliptical Models | 2012-10-04 | Paper |
| On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory | 2012-09-01 | Paper |
| Estimation and inference of the vector autoregressive process under heteroscedasticity | 2012-06-11 | Paper |
| On the exact distribution of the estimated expected utility portfolio weights: Theory and applications | 2011-12-23 | Paper |
| ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER | 2011-01-13 | Paper |
| Surveillance of the covariance matrix based on the properties of the singular Wishart distribution | 2010-04-01 | Paper |
| Estimation and inference for dependence in multivariate data | 2010-03-01 | Paper |
| Statistical inference of the efficient frontier for dependent asset returns | 2009-09-14 | Paper |
| An exact test on structural changes in the weights of the global minimum variance portfolio | 2009-09-13 | Paper |
| An identity for multivariate elliptically contoured matrix distribution | 2009-06-09 | Paper |
| Estimation of optimal portfolio compositions for Gaussian returns | 2009-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3607025 | 2009-02-28 | Paper |
| Properties of the singular, inverse and generalized inverse partitioned Wishart distributions | 2008-11-27 | Paper |
| The distribution of the sample variance of the global minimum variance portfolio in elliptical models | 2007-12-03 | Paper |
| Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications | N/A | Paper |
