Nestor Parolya

Available identifiers

zbMath Open parolya.nestor-rMaRDI QIDQ268759

List of research outcomes

Publication	Date of Publication	Type
Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio	2024-09-12	Paper
Log determinant of large correlation matrices under infinite fourth moment	2024-09-02	Paper
Optimal Shrinkage-Based Portfolio Selection in High Dimensions	2024-08-13	Paper
Logarithmic law of large random correlation matrices	2024-01-16	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
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
Recent advances in shrinkage-based high-dimensional inference	2022-01-03	Paper
Log determinant of large correlation matrices under infinite fourth moment	2021-12-31	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
Discriminant analysis in small and large dimensions	2020-08-26	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
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
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
Estimation of the global minimum variance portfolio in high dimensions	2018-05-30	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 exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability	2016-10-06	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
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
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix	2014-10-08	Paper
https://portal.mardi4nfdi.de/entity/Q3091236	2011-09-08	Paper
Killed Markov Decision Processes on Finite Time Interval for Countable Models	2011-05-18	Paper
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications	N/A	Paper

Research outcomes over time

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