Nestor Parolya

According to our database, Nestor Parolya authored at least 16 papers between 2013 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

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

Taras Bodnar, Nestor Parolya, Erik Thorsén

J. Mach. Learn. Res., 2024

2023

Multi-period power utility optimization under stock return predictability.

Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, Wolfgang Schmid

Comput. Manag. Sci., December, 2023

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

Taras Bodnar, Nestor Parolya, Erik Thorsén

IEEE Trans. Signal Process., 2023

2022

Recent advances in shrinkage-based high-dimensional inference.

Olha Bodnar, Taras Bodnar, Nestor Parolya

J. Multivar. Anal., 2022

2021

Statistical Inference for the Expected Utility Portfolio in High Dimensions.

Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya, Wolfgang Schmid

IEEE Trans. Signal Process., 2021

2020

Bayesian inference of the multi-period optimal portfolio for an exponential utility.

David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid

J. Multivar. Anal., 2020

2019

Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting.

Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid

IEEE Trans. Signal Process., 2019

Optimal shrinkage estimator for high-dimensional mean vector.

Taras Bodnar, Ostap Okhrin, Nestor Parolya

J. Multivar. Anal., 2019

2018

Estimation of the global minimum variance portfolio in high dimensions.

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Eur. J. Oper. Res., 2018

2016

Direct shrinkage estimation of large dimensional precision matrix.

Taras Bodnar, Arjun K. Gupta, Nestor Parolya

J. Multivar. Anal., 2016

Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix.

Taras Bodnar, Holger Dette, Nestor Parolya

J. Multivar. Anal., 2016

2015

On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability.

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Eur. J. Oper. Res., 2015

A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function.

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Ann. Oper. Res., 2015

2014

On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix.

Taras Bodnar, Arjun K. Gupta, Nestor Parolya

J. Multivar. Anal., 2014

The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility.

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Proceedings of the Operations Research Proceedings 2014, 2014

2013

On the equivalence of quadratic optimization problems commonly used in portfolio theory.

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Eur. J. Oper. Res., 2013