Nestor Parolya
Names
| first: |
Nestor |
| last: |
Parolya |
Identifer
Contact
Affiliations
-
Technische Universiteit Delft, Faculteit Elektrotechniek, Wiskunde & Informatica, Department of Applied Mathematics
- http://ta.twi.tudelft.nl/dv/users/parolya/
- location: Delft, Netherlands
Research profile
author of:
- A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function (RePEc:arx:papers:1207.1003)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory (RePEc:arx:papers:1207.1029)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability (RePEc:arx:papers:1207.1037)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix (RePEc:arx:papers:1308.0931)
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya - On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix (RePEc:arx:papers:1308.2608)
by Taras Bodnar & Arjun K. Gupta & Nestor Parolya - Estimation of the Global Minimum Variance Portfolio in High Dimensions (RePEc:arx:papers:1406.0437)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Optimal Shrinkage Estimator for High-Dimensional Mean Vector (RePEc:arx:papers:1610.09292)
by Taras Bodnar & Ostap Okhrin & Nestor Parolya - `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers (RePEc:arx:papers:1611.01524)
by Vasyl Golosnoy & Nestor Parolya - Optimal shrinkage-based portfolio selection in high dimensions (RePEc:arx:papers:1611.01958)
by Taras Bodnar & Yarema Okhrin & Nestor Parolya - Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility (RePEc:arx:papers:1705.06533)
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Tests for the weights of the global minimum variance portfolio in a high-dimensional setting (RePEc:arx:papers:1710.09587)
by Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid - Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty (RePEc:arx:papers:1803.03573)
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios (RePEc:arx:papers:1806.08005)
by Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid - Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions (RePEc:arx:papers:1908.04243)
by Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en - Statistical inference for the EU portfolio in high dimensions (RePEc:arx:papers:2005.04761)
by Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid - Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio (RePEc:arx:papers:2106.02131)
by Taras Bodnar & Nestor Parolya & Erik Thorsen - Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? (RePEc:arx:papers:2111.12532)
by Taras Bodnar & Nestor Parolya & Erik Thors'en - Two is better than one: Regularized shrinkage of large minimum variance portfolio (RePEc:arx:papers:2202.06666)
by Taras Bodnar & Nestor Parolya & Erik Thors'en - Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions (RePEc:bla:scjsta:v:46:y:2019:i:2:p:636-660)
by Taras Bodnar & Stepan Mazur & Nestor Parolya - On the equivalence of quadratic optimization problems commonly used in portfolio theory (RePEc:eee:ejores:v:229:y:2013:i:3:p:637-644)
by Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang - On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (RePEc:eee:ejores:v:246:y:2015:i:2:p:528-542)
by Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang - Estimation of the global minimum variance portfolio in high dimensions (RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390)
by Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang - Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? (RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001800)
by Bodnar, Taras & Parolya, Nestor & Thorsén, Erik - On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix (RePEc:eee:jmvana:v:132:y:2014:i:c:p:215-228)
by Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor - Direct shrinkage estimation of large dimensional precision matrix (RePEc:eee:jmvana:v:146:y:2016:i:c:p:223-236)
by Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor - Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix (RePEc:eee:jmvana:v:148:y:2016:i:c:p:160-172)
by Bodnar, Taras & Dette, Holger & Parolya, Nestor - Optimal shrinkage estimator for high-dimensional mean vector (RePEc:eee:jmvana:v:170:y:2019:i:c:p:63-79)
by Bodnar, Taras & Okhrin, Ostap & Parolya, Nestor - Bayesian inference of the multi-period optimal portfolio for an exponential utility (RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x1930123x)
by Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang - Recent advances in shrinkage-based high-dimensional inference (RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21001044)
by Bodnar, Olha & Bodnar, Taras & Parolya, Nestor - Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions (RePEc:hhs:oruesi:2017_005)
by Bodnar, Taras & Mazur, Stepan & Parolya, Nestor - Discriminant analysis in small and large dimensions (RePEc:hhs:oruesi:2017_006)
by Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor - On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions (RePEc:hhs:oruesi:2017_007)
by Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor - Testing for independence of large dimensional vectors (RePEc:pra:mprapa:97997)
by Bodnar, Taras & Dette, Holger & Parolya, Nestor - A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (RePEc:spr:annopr:v:229:y:2015:i:1:p:121-158:10.1007/s10479-015-1802-z)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Multi-period power utility optimization under stock return predictability (RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00434-6)
by Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wolfgang Schmid - The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility (RePEc:spr:oprchp:978-3-319-28697-6_7)
by Taras Bodnar & Nestor Parolya & Wolfgang Schmid - Optimal Shrinkage-Based Portfolio Selection in High Dimensions (RePEc:taf:jnlbes:v:41:y:2022:i:1:p:140-156)
by Taras Bodnar & Yarema Okhrin & Nestor Parolya - ‘To have what they are having’: portfolio choice for mimicking mean–variance savers (RePEc:taf:quantf:v:17:y:2017:i:11:p:1645-1653)
by Vasyl Golosnoy & Nestor Parolya - Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (RePEc:taf:quantf:v:21:y:2021:i:2:p:221-242)
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid