Taras Bodnar

According to our database, Taras Bodnar authored at least 32 papers between 2009 and 2025.

Collaborative distances:

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

2025

Birge ratio method for modeling dark uncertainty in multivariate meta-analyses and inter-laboratory studies.

Olha Bodnar, Taras Bodnar

J. Multivar. Anal., 2025

2024

Preface to the Special Issue "Copula modeling from Abe Sklar to the present day".

Christian Genest, Ostap Okhrin, Taras Bodnar

J. Multivar. Anal., 2024

Copula modeling from Abe Sklar to the present day.

Christian Genest, Ostap Okhrin, Taras Bodnar

J. Multivar. Anal., 2024

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

Taras Bodnar, Nestor Parolya, Erik Thorsén

J. Mach. Learn. Res., 2024

Gibbs sampler approach for objective Bayesian inference in elliptical multivariate meta-analysis random effects model.

Olha Bodnar, Taras Bodnar

Comput. Stat. Data Anal., 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

Bayesian portfolio selection using VaR and CVaR.

Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén

Appl. Math. Comput., 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

Quantile-based optimal portfolio selection.

Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha

Comput. Manag. Sci., 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

A test on the location of the tangency portfolio on the set of feasible portfolios.

Stanislas Muhinyuza, Taras Bodnar, Mathias Lindholm

Appl. Math. Comput., 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

Determination and estimation of risk aversion coefficients.

Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy

Comput. Manag. Sci., 2018

2017

Bayesian estimation of the global minimum variance portfolio.

Taras Bodnar, Stepan Mazur, Yarema Okhrin

Eur. J. Oper. Res., 2017

2016

Exact and asymptotic tests on a factor model in low and large dimensions with applications.

Taras Bodnar, Markus Reiß

J. Multivar. Anal., 2016

Singular inverse Wishart distribution and its application to portfolio theory.

Taras Bodnar, Stepan Mazur, Krzysztof Podgórski

J. Multivar. Anal., 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

An exact test about the covariance matrix.

Arjun K. Gupta, Taras Bodnar

J. Multivar. Anal., 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 exact and approximate distributions of the product of a Wishart matrix with a normal vector.

Taras Bodnar, Stepan Mazur, Yarema Okhrin

J. Multivar. Anal., 2013

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

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Eur. J. Oper. Res., 2013

Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?

Taras Bodnar, Yarema Okhrin

Appl. Math. Comput., 2013

2010

Estimation and inference for dependence in multivariate data.

Olha Bodnar, Taras Bodnar, Arjun K. Gupta

J. Multivar. Anal., 2010

2009

Surveillance of the covariance matrix based on the properties of the singular Wishart distribution.

Olha Bodnar, Taras Bodnar, Yarema Okhrin

Comput. Stat. Data Anal., 2009