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Bayesian inference for the tangent portfolio
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10011970903
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Bayesian estimation of the global minimum variance portfolio
Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307
Persistent link: https://www.econbiz.de/10011611271
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Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, … - In: Quantitative finance 21 (2021) 2, pp. 221-242
Persistent link: https://www.econbiz.de/10012424557
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Estimation of optimal portfolio compositions for small sample and singular covariance matrix
Bodnar, Taras; Mazur, Stepan; Nguyen, Hoang - 2022
In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...
Persistent link: https://www.econbiz.de/10013469613
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Determination and estimation of risk aversion coefficients
Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 297-317
Persistent link: https://www.econbiz.de/10011876592
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Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras; Okhrin, Yarema; Parolya, Nestor - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
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The impact of an insider and short-selling on bubble formation in experimental financial market
Chmura, Thorsten; Bai, Ye; Bauder, David - In: Journal of international financial markets, … 60 (2019), pp. 211-230
Persistent link: https://www.econbiz.de/10012128007
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Third cumulant for multivariate aggregate claim models
Loperfido, Nicola; Mazur, Stepan; Podgórski, Krzystof - In: Scandinavian actuarial journal (2018) 2, pp. 109-128
Persistent link: https://www.econbiz.de/10011880831
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An iterative approach to ill-conditioned optimal portfolio selection
Gulliksson, Mårten; Mazur, Stepan - In: Computational economics 56 (2020) 4, pp. 773-794
Persistent link: https://www.econbiz.de/10012390467
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Vector autoregression models with skewness and heavy tails
Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - 2021
Persistent link: https://www.econbiz.de/10012604814