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 1 1 4 189
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 1 20 0 0 2 29
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 1 1 46 0 2 4 84
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 1 7 7 0 2 8 8
Discriminant analysis in small and large dimensions 0 0 0 22 1 1 2 41
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 1 1 3 17
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 0 0 1 59
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 0 0 1 11
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 1 21 0 1 4 54
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 0 0 0 95
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 0 2 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 0 0 2 53
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 0 1 3 30
Optimal shrinkage-based portfolio selection in high dimensions 0 0 1 28 0 3 5 50
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 0 13 0 1 4 34
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 1 2 5 24
Testing for independence of large dimensional vectors 0 0 0 19 0 0 2 24
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 0 2 3 42
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 2 2 5 13
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 0 1 1 28
Total Working Papers 0 2 14 516 6 22 68 1,111

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 0 3 3 24
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 2 3 9 0 2 3 33
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 0 3 7
Direct shrinkage estimation of large dimensional precision matrix 0 0 1 10 0 0 2 47
Estimation of the global minimum variance portfolio in high dimensions 1 1 2 13 3 6 10 75
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 0 1 5 6
Multi-period power utility optimization under stock return predictability 0 0 0 1 0 0 2 6
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 1 1 1 0 1 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 0 1 2 58
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 0 0 2 49
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 1 1 2 6 1 3 6 23
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 0 1 3 25
Recent advances in shrinkage-based high-dimensional inference 0 0 1 12 1 2 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 0 0 0 15
Total Journal Articles 2 5 11 102 5 20 59 517

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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