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Nestor Parolya

Personal Details

First Name:Nestor
Middle Name:
Last Name:Parolya
Suffix:
RePEc Short-ID:ppa971
[This author has chosen not to make the email address public]
http://www.statistik.uni-hannover.de/parolya0.html

Affiliation

Wirtschaftswissenschaftliche Fakultät
Leibniz Universität Hannover

Hannover, Germany
http://www.wiwi.uni-hannover.de/

: (0511) 762-5350
(0511) 762-5665
Koenigsworther Platz 1, D-30167 Hannover
RePEc:edi:fwhande (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2018. "Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty," Papers 1803.03573, arXiv.org.
  2. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Nov 2017.
  3. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2017. "Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility," Papers 1705.06533, arXiv.org.
  4. Bodnar, Taras & Mazur, Stepan & Muhinyuza, Stanislas & Parolya, Nestor, 2017. "On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions," Working Papers 2017:7, Örebro University, School of Business.
  5. Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.
  6. Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.
  7. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised May 2017.
  8. Vasyl Golosnoy & Nestor Parolya, 2016. "`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers," Papers 1611.01524, arXiv.org.
  9. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Oct 2017.
  10. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org, revised Nov 2015.
  11. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix," Papers 1308.0931, arXiv.org, revised Mar 2014.
  12. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix," Papers 1308.2608, arXiv.org, revised Jun 2014.
  13. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability," Papers 1207.1037, arXiv.org.
  14. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
  15. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.

Articles

  1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
  2. Vasyl Golosnoy & Nestor Parolya, 2017. "‘To have what they are having’: portfolio choice for mimicking mean–variance savers," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1645-1653, November.
  3. Bodnar, Taras & Dette, Holger & Parolya, Nestor, 2016. "Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 160-172.
  4. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2016. "Direct shrinkage estimation of large dimensional precision matrix," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 223-236.
  5. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
  6. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
  7. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2014. "On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 215-228.
  8. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.

    Cited by:

    1. Javed, Farrukh & Mazur, Stepan & Ngailo, Edward, 2017. "Higher order moments of the estimated tangency portfolio weights," Working Papers 2017:10, Örebro University, School of Business.
    2. Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.

  2. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised May 2017.

    Cited by:

    1. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Nov 2017.
    2. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Oct 2017.

  3. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Oct 2017.

    Cited by:

    1. Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.

  4. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2014. "Estimation of the Global Minimum Variance Portfolio in High Dimensions," Papers 1406.0437, arXiv.org, revised Nov 2015.

    Cited by:

    1. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised May 2017.
    2. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Nov 2017.
    3. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
    4. Bauder, David & Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2018. "Bayesian inference for the tangent portfolio," Working Papers 2018:2, Örebro University, School of Business.
    5. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Oct 2017.

  5. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix," Papers 1308.0931, arXiv.org, revised Mar 2014.

    Cited by:

    1. Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.

  6. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix," Papers 1308.2608, arXiv.org, revised Jun 2014.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    2. Taras Bodnar & Arjun K. Gupta & Nestor Parolya, 2013. "Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix," Papers 1308.0931, arXiv.org, revised Mar 2014.
    3. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Nov 2017.
    4. Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.
    5. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2016. "Direct shrinkage estimation of large dimensional precision matrix," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 223-236.
    6. Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.
    7. Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.

  7. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability," Papers 1207.1037, arXiv.org.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    2. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
    3. Lu, Jin-Ray & Hwang, Chih-Chiang & Liu, Min-Luan & Lin, Chien-Yi, 2016. "An incentive problem of risk balancing in portfolio choices," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 192-200.
    4. Zhou, Zhongbao & Xiao, Helu & Yin, Jialing & Zeng, Ximei & Lin, Ling, 2016. "Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 187-202.

  8. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    2. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2017. "Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility," Papers 1705.06533, arXiv.org.
    3. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.

  9. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.

    Cited by:

    1. Yam, Sheung Chi Phillip & Yang, Hailiang & Yuen, Fei Lung, 2016. "Optimal asset allocation: Risk and information uncertainty," European Journal of Operational Research, Elsevier, vol. 251(2), pages 554-561.
    2. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    3. Taras Bodnar & Yarema Okhrin & Nestor Parolya, 2016. "Optimal shrinkage-based portfolio selection in high dimensions," Papers 1611.01958, arXiv.org, revised May 2017.
    4. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
    5. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.

Articles

  1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    See citations under working paper version above.
  2. Bodnar, Taras & Dette, Holger & Parolya, Nestor, 2016. "Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 160-172.

    Cited by:

    1. Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Oct 2017.

  3. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2016. "Direct shrinkage estimation of large dimensional precision matrix," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 223-236.

    Cited by:

    1. Bodnar, Taras & Dette, Holger & Parolya, Nestor, 2016. "Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 160-172.
    2. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    3. Taras Bodnar & Solomiia Dmytriv & Nestor Parolya & Wolfgang Schmid, 2017. "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting," Papers 1710.09587, arXiv.org, revised Nov 2017.
    4. Bodnar, Taras & Mazur, Stepan & Parolya, Nestor, 2017. "Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions," Working Papers 2017:5, Örebro University, School of Business.
    5. Bodnar, Taras & Mazur, Stepan & Ngailo, Edward & Parolya, Nestor, 2017. "Discriminant analysis in small and large dimensions," Working Papers 2017:6, Örebro University, School of Business.
    6. Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
    7. Tsubasa Ito & Tatsuya Kubokawa, 2015. "Linear Ridge Estimator of High-Dimensional Precision Matrix Using Random Matrix Theory ," CIRJE F-Series CIRJE-F-995, CIRJE, Faculty of Economics, University of Tokyo.

  4. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
    See citations under working paper version above.
  5. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542. See citations under working paper version above.
  6. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2014. "On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 215-228.
    See citations under working paper version above.
  7. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2014-06-07 2014-07-05 2014-07-05 2016-11-06 2016-11-13 2017-09-03 2017-09-03 2017-09-03 2017-11-05. Author is listed
  2. NEP-UPT: Utility Models & Prospect Theory (4) 2012-07-14 2012-07-14 2016-11-13 2017-05-21. Author is listed
  3. NEP-ORE: Operations Research (2) 2017-09-03 2017-09-03
  4. NEP-RMG: Risk Management (2) 2014-06-07 2017-05-21

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