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 0 42 2 3 6 191
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 1 1 2 30
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 1 2 2 47 11 13 15 95
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 0 0 3 61
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 2 7 0 0 5 8
Discriminant analysis in small and large dimensions 0 0 0 22 0 1 2 41
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 0 1 3 17
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 3 3 4 62
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 0 0 0 11
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 0 21 2 3 5 56
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 0 2 15 0 0 2 84
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 2 2 2 97
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 0 0 2 30
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 1 24 0 0 2 51
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 1 1 3 54
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 1 1 4 31
Optimal shrinkage-based portfolio selection in high dimensions 0 0 1 28 0 3 4 50
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 0 13 0 0 4 34
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 1 2 6 25
Testing for independence of large dimensional vectors 0 0 0 19 1 1 3 25
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 2 2 4 44
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 1 3 5 14
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 0 1 1 28
Total Working Papers 1 2 8 517 28 41 87 1,139

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 0 0 4 46
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 4 5 7 28
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 1 2 4 10 2 3 5 35
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 1 1 4 8
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 0 0 1 47
Estimation of the global minimum variance portfolio in high dimensions 0 1 1 13 1 7 10 76
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 0 1 3 6
Multi-period power utility optimization under stock return predictability 0 0 0 1 0 0 1 6
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 0 1 1 0 0 3 3
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 1 5 0 0 4 50
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability 0 0 0 18 2 3 4 60
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 1 1 3 50
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 0 1 2 6 0 1 6 23
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 4 4 7 29
Recent advances in shrinkage-based high-dimensional inference 0 0 1 12 0 1 6 28
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 0 0 4 0 0 1 22
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 1 1 1 16
Total Journal Articles 1 4 10 103 16 28 70 533

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility 0 0 0 0 0 0 2 3
Total Chapters 0 0 0 0 0 0 2 3

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