Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, Joanna Singular conditional autoregressive Wishart model for realized covariance matrices. (English) Zbl 1531.62102 J. Bus. Econ. Stat. 41, No. 3, 833-845 (2023). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
von Schroeder, Jonathan; Dickhaus, Thorsten; Bodnar, Taras Reverse stress testing in skew-elliptical models. (English) Zbl 07748862 Theory Probab. Math. Stat. 109, 101-127 (2023). MSC: 62E15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Golosnoy, Vasyl; Gribisch, Bastian; Seifert, Miriam Isabel Sample and realized minimum variance portfolios: estimation, statistical inference, and tests. (English) Zbl 07910980 Wiley Interdiscip. Rev., WIREs Comput. Stat. 14, No. 5, Article ID e1556, 18 p. (2022). MSC: 62-08 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Bodnar, Taras; Dette, Holger; Parolya, Nestor; Thorsén, Erik Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions. (English) Zbl 1523.62079 Random Matrices Theory Appl. 11, No. 1, Article ID 2250008, 47 p. (2022); corrigendum ibid. 12, No. 3, Article ID 2392001, 6 p. (2023). MSC: 62P05 62H10 62H12 62E20 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Leung, Man-Fai; Wang, Jun Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization. (English) Zbl 1527.91148 Neural Netw. 145, 68-79 (2022). MSC: 91G10 90C11 × Cite Format Result Cite Review PDF Full Text: DOI
Bodnar, Taras; Lindholm, Mathias; Niklasson, Vilhelm; Thorsén, Erik Bayesian portfolio selection using VaR and CVaR. (English) Zbl 1510.91151 Appl. Math. Comput. 427, Article ID 127120, 21 p. (2022). MSC: 91G10 62F15 91G70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Bodnar, Olha; Bodnar, Taras; Parolya, Nestor Recent advances in shrinkage-based high-dimensional inference. (English) Zbl 1493.62298 J. Multivariate Anal. 188, Article ID 104826, 13 p. (2022). MSC: 62H12 62F12 62H15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Bodnar, Taras; Lindholm, Mathias; Thorsén, Erik; Tyrcha, Joanna Quantile-based optimal portfolio selection. (English) Zbl 07432771 Comput. Manag. Sci. 18, No. 3, 299-324 (2021). MSC: 90Bxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. (English) Zbl 1466.91277 Quant. Finance 21, No. 2, 221-242 (2021). MSC: 91G10 93E20 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang Bayesian inference of the multi-period optimal portfolio for an exponential utility. (English) Zbl 1435.62104 J. Multivariate Anal. 175, Article ID 104544, 22 p. (2020). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 62F15 62E15 62H12 91B24 62P20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv