The following pages link to Taras Bodnar (Q246230):
Displaying 50 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- Direct shrinkage estimation of large dimensional precision matrix (Q268760) (← links)
- Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix (Q276985) (← links)
- (Q319808) (redirect page) (← links)
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (Q319811) (← links)
- 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 (Q378919) (← links)
- On the exact and approximate distributions of the product of a Wishart matrix with a normal vector (Q391862) (← links)
- (Q458653) (redirect page) (← links)
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix (Q458655) (← links)
- False discovery rate control under Archimedean copula (Q470503) (← links)
- (Q492797) (redirect page) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- (Q589550) (redirect page) (← links)
- Exact and asymptotic tests on a factor model in low and large dimensions with applications (Q739589) (← links)
- A test for the weights of the global minimum variance portfolio in an elliptical model (Q745427) (← links)
- Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
- Singular inverse Wishart distribution and its application to portfolio theory (Q900811) (← links)
- Properties of the singular, inverse and generalized inverse partitioned Wishart distributions (Q957321) (← links)
- Surveillance of the covariance matrix based on the properties of the singular Wishart distribution (Q961796) (← links)
- An identity for multivariate elliptically contoured matrix distribution (Q1021772) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- Uncertainty quantification for the family-wise error rate in multivariate copula models (Q1621987) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- A test for the global minimum variance portfolio for small sample and singular covariance (Q1622106) (← links)
- Optimal shrinkage estimator for high-dimensional mean vector (Q1733270) (← links)
- Bayesian estimation of the global minimum variance portfolio (Q1752196) (← links)
- Mean-variance efficiency of optimal power and logarithmic utility portfolios (Q2024117) (← links)
- Quantile-based optimal portfolio selection (Q2051167) (← links)
- Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
- Bayesian portfolio selection using VaR and CVaR (Q2141202) (← links)
- Estimating the proportion of true null hypotheses under dependency: a marginal bootstrap approach (Q2189123) (← links)
- Robust surveillance of covariance matrices using a single observation (Q2257028) (← links)
- Estimation and inference for dependence in multivariate data (Q2267587) (← links)
- Bayesian inference of the multi-period optimal portfolio for an exponential utility (Q2293380) (← links)
- Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory (Q2317293) (← links)
- Testing for independence of large dimensional vectors (Q2328066) (← links)
- On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
- An exact test for a column of the covariance matrix based on a single observation (Q2392252) (← links)
- On the Simes inequality in elliptical models (Q2397052) (← links)
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio? (Q2434848) (← links)
- An exact test about the covariance matrix (Q2637609) (← links)
- A test on the location of the tangency portfolio on the set of feasible portfolios (Q2656730) (← links)
- Distribution of the product of a singular Wishart matrix and a normal vector (Q2786936) (← links)
- The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility (Q2806891) (← links)
- Elliptically Contoured Models in Statistics and Portfolio Theory (Q2840351) (← links)
- Estimation and inference of the vector autoregressive process under heteroscedasticity (Q2890716) (← links)
- On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory (Q2911668) (← links)
- Construction and Inferences of the Efficient Frontier in Elliptical Models (Q2919540) (← links)
- ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER (Q3067764) (← links)
- On the exact distribution of the estimated expected utility portfolio weights: Theory and applications (Q3107437) (← links)
