Access Statistics for Nestor Parolya

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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 0 1 20 208
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 0 3 15 44
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 0 3 48 0 0 25 107
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions 0 1 1 25 1 3 13 74
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 0 7 2 3 9 17
Discriminant analysis in small and large dimensions 0 0 0 22 0 0 10 50
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 0 1 11 27
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 0 1 14 73
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 0 0 4 15
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 0 21 0 2 17 70
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 0 1 16 1 2 15 99
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 0 3 15 110
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 0 1 13 43
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 0 24 0 0 9 60
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 0 2 10 63
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 0 1 4 34
Optimal shrinkage-based portfolio selection in high dimensions 0 0 0 28 0 6 19 66
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 1 14 1 3 12 46
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 0 2 14 37
Testing for independence of large dimensional vectors 0 0 0 19 0 0 10 34
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 1 1 9 51
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 1 3 20 31
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 0 1 9 36
Total Working Papers 0 1 8 523 7 39 297 1,395

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 6 52
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 0 0 19 42
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 0 3 11 0 2 19 51
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 7 14
Consistent estimation of the high-dimensional efficient frontier 0 0 1 1 0 0 1 1
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 0 1 14 61
Estimation of the global minimum variance portfolio in high dimensions 0 0 1 13 1 1 24 93
High-Dimensional portfolio selection with HDShOP package 0 0 0 0 0 0 1 1
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 0 2 16 21
Multi-period power utility optimization under stock return predictability 0 0 0 1 0 1 9 15
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 0 2 3 1 1 9 12
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 0 5 0 0 5 55
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability 0 0 0 18 0 0 9 66
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 0 2 8 57
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 0 0 3 8 1 8 17 39
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 0 4 21 46
Recent advances in shrinkage-based high-dimensional inference 0 0 1 13 1 1 8 35
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 0 1 5 1 1 12 34
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 0 1 8 23
Total Journal Articles 0 0 12 111 5 25 213 718

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 0 5 5
Spectral Analysis of Large Reflexive Generalized Inverse and Moore-Penrose Inverse Matrices 0 0 0 0 0 1 2 2
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility 0 0 0 0 0 0 3 6
Total Chapters 0 0 0 0 0 1 10 13

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Statistics updated 2026-08-07