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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

On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio

Schmid, Wolfgang; Zabolotskyy, Taras - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 29-34

Persistent link: https://www.econbiz.de/10003649991

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

Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?

Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014472777

Constructing Bayesian tangency portfolios under short-selling restrictions

Bodnar, Olha; Bodnar, Taras; Niklasson, Vilhelm - In: Finance research letters 62 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014530749

Is the Empirical Out-of-Sample Variance an Informative Risk Measure for the High-Dimensional Portfolios?

Bodnar, Taras; Parolya, Nestor; Thorsen, Erik - 2023

The main contribution of this paper is the derivation of the asymptotic behaviour of the out-of-sample variance, relative loss, and of their empirical counterparts in the high-dimensional setting. The results are obtained for the traditional estimator of the global minimum variance portfolio,...

Persistent link: https://www.econbiz.de/10014257497