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 1 1 43 2 7 11 196
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 0 2 3 31
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 1 2 47 2 17 20 101
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 1 1 2 62
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 0 0 4 8
Discriminant analysis in small and large dimensions 0 0 0 22 0 1 3 42
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 1 3 6 20
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 0 5 6 64
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 4 6 58
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 0 2 15 2 2 4 86
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 1 4 4 99
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 2 4 53
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 0 1 3 54
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 0 1 3 31
Optimal shrinkage-based portfolio selection in high dimensions 0 0 1 28 1 3 7 53
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 0 13 0 1 4 35
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 1 6 11 30
Testing for independence of large dimensional vectors 0 0 0 19 1 4 6 28
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 0 3 5 45
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 4 7 11 20
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 1 1 2 29
Total Working Papers 0 2 8 518 19 75 127 1,186

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 1 5 47
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 0 9 12 33
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 1 4 10 3 5 8 38
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 0 2 4 9
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 5 5 6 52
Estimation of the global minimum variance portfolio in high dimensions 0 0 1 13 3 6 14 81
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 1 2 5 8
Multi-period power utility optimization under stock return predictability 0 0 0 1 0 1 2 7
Nonlinear shrinkage test on a large‐dimensional covariance matrix 1 1 2 2 2 2 5 5
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 1 5 0 1 5 51
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability 0 0 0 18 0 2 4 60
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 0 1 3 50
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 0 0 1 6 0 0 5 23
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 1 7 9 32
Recent advances in shrinkage-based high-dimensional inference 1 1 2 13 2 3 8 31
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 0 0 4 1 3 3 25
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 0 1 1 16
Total Journal Articles 2 3 11 105 18 51 99 568

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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Statistics updated 2026-01-09