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 2 44 1 6 13 200
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 0 5 8 36
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 0 2 47 1 5 22 104
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 4 7 7 68
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 1 2 4 10
Discriminant analysis in small and large dimensions 0 0 0 22 0 4 7 46
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 1 3 7 22
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 0 4 9 68
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 2 3 3 14
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 0 21 1 6 10 62
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 0 2 15 1 7 9 91
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 0 4 7 102
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 4 9 11 39
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 1 24 0 6 9 59
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 0 1 4 55
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 0 1 3 32
Optimal shrinkage-based portfolio selection in high dimensions 0 0 1 28 1 5 11 57
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 1 1 14 1 4 6 39
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 0 2 10 31
Testing for independence of large dimensional vectors 0 0 0 19 1 3 7 30
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 0 1 6 46
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 0 9 16 25
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 4 6 7 34
Total Working Papers 0 2 10 520 23 103 196 1,270

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 2 4 49
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 2 6 18 39
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 1 5 11 2 11 16 46
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 3 7 12
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 1 7 8 54
Estimation of the global minimum variance portfolio in high dimensions 0 0 1 13 1 10 21 88
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 3 9 11 16
Multi-period power utility optimization under stock return predictability 0 0 0 1 0 4 6 11
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 1 2 2 3 6 9 9
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 1 5 0 2 5 53
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability 0 0 0 18 0 3 7 63
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 0 2 4 52
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 1 1 2 7 2 3 7 26
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 2 7 15 38
Recent advances in shrinkage-based high-dimensional inference 0 1 2 13 2 4 9 33
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 1 1 5 0 5 7 29
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 0 2 3 18
Total Journal Articles 1 5 14 108 18 86 157 636

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 0 2 2 2
Spectral Analysis of Large Reflexive Generalized Inverse and Moore-Penrose Inverse Matrices 0 0 0 0 0 0 0 0
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility 0 0 0 0 1 2 2 5
Total Chapters 0 0 0 0 1 4 4 7

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Statistics updated 2026-03-04