Access Statistics for Nestor Parolya

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function 0 0 2 44 4 8 20 207
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 3 5 13 41
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 1 3 48 1 4 25 107
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions 0 0 0 24 3 7 10 71
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 2 5 8 14
Discriminant analysis in small and large dimensions 0 0 0 22 4 4 10 50
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 1 5 11 26
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 3 4 13 72
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 1 3 4 15
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 0 21 4 7 16 68
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 1 3 16 4 7 15 97
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 4 5 12 107
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 0 7 14 42
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 0 24 0 1 9 60
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 4 6 9 61
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 1 1 4 33
Optimal shrinkage-based portfolio selection in high dimensions 0 0 0 28 3 4 13 60
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 1 14 2 5 10 43
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 1 4 13 35
Testing for independence of large dimensional vectors 0 0 0 19 4 5 11 34
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 2 4 10 50
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 2 3 17 28
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 1 5 8 35
Total Working Papers 0 2 10 522 54 109 275 1,356

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function 0 0 0 6 1 3 7 52
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 3 5 21 42
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 0 5 11 2 5 19 49
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions 0 0 0 0 2 2 9 14
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 5 7 13 60
Estimation of the global minimum variance portfolio in high dimensions 0 0 1 13 3 5 25 92
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 2 6 14 19
Multi-period power utility optimization under stock return predictability 0 0 0 1 3 3 9 14
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 1 3 3 0 5 10 11
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 1 5 2 2 6 55
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability 0 0 0 18 3 3 9 66
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 0 3 6 55
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 0 2 3 8 3 7 11 31
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 3 6 19 42
Recent advances in shrinkage-based high-dimensional inference 0 0 2 13 1 3 9 34
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 0 1 5 3 4 11 33
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 3 4 7 22
Total Journal Articles 0 3 16 110 39 73 205 691

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Linear Shrinkage-Based Hypothesis Test for Large-Dimensional Covariance Matrix 0 0 0 0 2 3 5 5
Spectral Analysis of Large Reflexive Generalized Inverse and Moore-Penrose Inverse Matrices 0 0 0 0 1 1 1 1
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility 0 0 0 0 1 2 3 6
Total Chapters 0 0 0 0 4 6 9 12

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Statistics updated 2026-05-06