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 7 19 207
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility 0 0 0 20 1 6 14 42
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty 0 1 3 48 0 3 25 107
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 4 11 72
Consistent Estimation of the High-Dimensional Efficient Frontier 0 0 1 7 0 4 8 14
Discriminant analysis in small and large dimensions 0 0 0 22 0 4 10 50
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio 0 0 0 7 0 4 11 26
Estimation of the Global Minimum Variance Portfolio in High Dimensions 0 0 0 41 1 5 14 73
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 38 0 1 4 15
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios 0 0 0 21 1 7 17 69
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory 0 1 2 16 0 6 14 97
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability 0 0 0 15 3 8 15 110
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix 0 0 0 53 1 4 15 43
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions 0 0 0 24 0 1 9 60
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix 0 0 0 27 2 8 10 63
Optimal Shrinkage Estimator for High-Dimensional Mean Vector 0 0 0 15 1 2 5 34
Optimal shrinkage-based portfolio selection in high dimensions 0 0 0 28 6 9 19 66
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions 0 0 1 14 1 5 11 44
Statistical inference for the EU portfolio in high dimensions 0 0 0 5 2 6 15 37
Testing for independence of large dimensional vectors 0 0 0 19 0 4 10 34
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting 0 0 0 14 0 4 10 50
Two is better than one: Regularized shrinkage of large minimum variance portfolio 0 0 0 16 2 5 19 30
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers 0 0 0 4 1 2 9 36
Total Working Papers 0 2 9 522 23 109 294 1,379

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 3 6 52
Bayesian inference of the multi-period optimal portfolio for an exponential utility 0 0 0 4 0 3 21 42
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty 0 0 5 11 2 5 21 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 2 9 14
Consistent estimation of the high-dimensional efficient frontier 0 1 1 1 0 1 1 1
Direct shrinkage estimation of large dimensional precision matrix 0 0 0 10 0 6 13 60
Estimation of the global minimum variance portfolio in high dimensions 0 0 1 13 0 4 24 92
High-Dimensional portfolio selection with HDShOP package 0 0 0 0 0 1 1 1
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? 0 0 0 0 2 5 16 21
Multi-period power utility optimization under stock return predictability 0 0 0 1 1 4 10 15
Nonlinear shrinkage test on a large‐dimensional covariance matrix 0 1 3 3 0 2 9 11
On the equivalence of quadratic optimization problems commonly used in portfolio theory 0 0 0 5 0 2 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 3 9 66
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix 0 0 0 6 2 5 8 57
Optimal Shrinkage-Based Portfolio Selection in High Dimensions 0 1 3 8 3 8 14 34
Optimal shrinkage estimator for high-dimensional mean vector 0 0 0 5 2 6 20 44
Recent advances in shrinkage-based high-dimensional inference 0 0 1 13 0 1 8 34
Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix 0 0 1 5 0 4 11 33
‘To have what they are having’: portfolio choice for mimicking mean–variance savers 0 0 0 2 1 5 8 23
Total Journal Articles 0 3 15 111 13 70 214 706

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

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Statistics updated 2026-06-04