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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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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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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