Erik Thorsén

Orcid: 0000-0001-5992-1216

According to our database¹, Erik Thorsén authored at least 5 papers between 2021 and 2024.

Collaborative distances:

Dijkstra number² of six.
Erdős number³ of five.

Timeline

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PhD thesis

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Bibliography

2024

Tangency portfolio weights under a skew-normal model in small and large dimensions.

[BibT_eX]

[DOI]

Farrukh Javed

Stepan Mazur

Erik Thorsén

J. Oper. Res. Soc., July, 2024

Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios.

[BibT_eX]

[DOI]

Taras Bodnar

Nestor Parolya

Erik Thorsén

J. Mach. Learn. Res., 2024

2023

Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio.

[BibT_eX]

[DOI]

Taras Bodnar

Nestor Parolya

Erik Thorsén

IEEE Trans. Signal Process., 2023

2022

Bayesian portfolio selection using VaR and CVaR.

[BibT_eX]

[DOI]

Appl. Math. Comput., 2022

2021

Quantile-based optimal portfolio selection.

[BibT_eX]

[DOI]

Comput. Manag. Sci., 2021

Erik Thorsén

Timeline

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