Details about Nestor Parolya

Access statistics for papers by Nestor Parolya.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: ppa971

Working Papers

2024

1. Consistent Estimation of the High-Dimensional Efficient Frontier
   Papers, arXiv.org

2023

2. Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions
   Papers, arXiv.org View citations (4)

2022

3. Two is better than one: Regularized shrinkage of large minimum variance portfolio
   Papers, arXiv.org

2021

4. Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
   Papers, arXiv.org View citations (1)
5. Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
   Papers, arXiv.org
   See also Journal Article Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?, Finance Research Letters, Elsevier (2023) View citations (1) (2023)
6. Optimal shrinkage-based portfolio selection in high dimensions
   Papers, arXiv.org View citations (11)
   See also Journal Article Optimal Shrinkage-Based Portfolio Selection in High Dimensions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (7) (2022)

2020

7. Statistical inference for the EU portfolio in high dimensions
   Papers, arXiv.org

2019

8. Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
   Papers, arXiv.org View citations (1)
9. Testing for independence of large dimensional vectors
   MPRA Paper, University Library of Munich, Germany View citations (14)
10. Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
    Papers, arXiv.org View citations (15)

2018

11. Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
    Papers, arXiv.org View citations (8)
    See also Journal Article Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty, Quantitative Finance, Taylor & Francis Journals (2021) View citations (7) (2021)
12. Optimal Shrinkage Estimator for High-Dimensional Mean Vector
    Papers, arXiv.org View citations (1)
    See also Journal Article Optimal shrinkage estimator for high-dimensional mean vector, Journal of Multivariate Analysis, Elsevier (2019) View citations (10) (2019)

2017

13. Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
    Papers, arXiv.org View citations (2)
    See also Journal Article Bayesian inference of the multi-period optimal portfolio for an exponential utility, Journal of Multivariate Analysis, Elsevier (2020) View citations (5) (2020)
14. Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
    Working Papers, Örebro University, School of Business View citations (2)
    See also Journal Article Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2019) View citations (5) (2019)
15. Discriminant analysis in small and large dimensions
    Working Papers, Örebro University, School of Business
16. On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
    Working Papers, Örebro University, School of Business View citations (3)

2016

17. `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
    Papers, arXiv.org
    See also Journal Article ‘To have what they are having’: portfolio choice for mimicking mean–variance savers, Quantitative Finance, Taylor & Francis Journals (2017) (2017)

2015

18. Estimation of the Global Minimum Variance Portfolio in High Dimensions
    Papers, arXiv.org View citations (6)
    See also Journal Article Estimation of the global minimum variance portfolio in high dimensions, European Journal of Operational Research, Elsevier (2018) View citations (35) (2018)

2014

19. A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
    Papers, arXiv.org
    See also Journal Article A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, Annals of Operations Research, Springer (2015) View citations (10) (2015)
20. On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
    Papers, arXiv.org View citations (21)
    See also Journal Article On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix, Journal of Multivariate Analysis, Elsevier (2014) View citations (16) (2014)
21. Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
    Papers, arXiv.org View citations (2)

2013

22. On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
    Papers, arXiv.org View citations (16)
    See also Journal Article On the equivalence of quadratic optimization problems commonly used in portfolio theory, European Journal of Operational Research, Elsevier (2013) View citations (16) (2013)

2012

23. On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
    Papers, arXiv.org
    See also Journal Article On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability, European Journal of Operational Research, Elsevier (2015) View citations (18) (2015)

Journal Articles

2025

1. Nonlinear shrinkage test on a large‐dimensional covariance matrix
   Statistica Neerlandica, 2025, 79, (1)

2023

2. Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
   Finance Research Letters, 2023, 54, (C) View citations (1)
   See also Working Paper Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?, Papers (2021) (2021)
3. Multi-period power utility optimization under stock return predictability
   Computational Management Science, 2023, 20, (1), 1-27

2022

4. Optimal Shrinkage-Based Portfolio Selection in High Dimensions
   Journal of Business & Economic Statistics, 2022, 41, (1), 140-156 View citations (7)
   See also Working Paper Optimal shrinkage-based portfolio selection in high dimensions, Papers (2021) View citations (11) (2021)
5. Recent advances in shrinkage-based high-dimensional inference
   Journal of Multivariate Analysis, 2022, 188, (C) View citations (4)

2021

6. Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
   Quantitative Finance, 2021, 21, (2), 221-242 View citations (7)
   See also Working Paper Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty, Papers (2018) View citations (8) (2018)

2020

7. Bayesian inference of the multi-period optimal portfolio for an exponential utility
   Journal of Multivariate Analysis, 2020, 175, (C) View citations (5)
   See also Working Paper Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility, Papers (2017) View citations (2) (2017)

2019

8. Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions
   Scandinavian Journal of Statistics, 2019, 46, (2), 636-660 View citations (5)
   See also Working Paper Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions, Working Papers (2017) View citations (2) (2017)
9. Optimal shrinkage estimator for high-dimensional mean vector
   Journal of Multivariate Analysis, 2019, 170, (C), 63-79 View citations (10)
   See also Working Paper Optimal Shrinkage Estimator for High-Dimensional Mean Vector, Papers (2018) View citations (1) (2018)

2018

10. Estimation of the global minimum variance portfolio in high dimensions
    European Journal of Operational Research, 2018, 266, (1), 371-390 View citations (35)
    See also Working Paper Estimation of the Global Minimum Variance Portfolio in High Dimensions, Papers (2015) View citations (6) (2015)

2017

11. ‘To have what they are having’: portfolio choice for mimicking mean–variance savers
    Quantitative Finance, 2017, 17, (11), 1645-1653
    See also Working Paper `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers, Papers (2016) (2016)

2016

12. Direct shrinkage estimation of large dimensional precision matrix
    Journal of Multivariate Analysis, 2016, 146, (C), 223-236 View citations (17)
13. Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix
    Journal of Multivariate Analysis, 2016, 148, (C), 160-172 View citations (7)

2015

14. A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
    Annals of Operations Research, 2015, 229, (1), 121-158 View citations (10)
    See also Working Paper A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function, Papers (2014) (2014)
15. On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
    European Journal of Operational Research, 2015, 246, (2), 528-542 View citations (18)
    See also Working Paper On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability, Papers (2012) (2012)

2014

16. On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
    Journal of Multivariate Analysis, 2014, 132, (C), 215-228 View citations (16)
    See also Working Paper On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix, Papers (2014) View citations (21) (2014)

2013

17. On the equivalence of quadratic optimization problems commonly used in portfolio theory
    European Journal of Operational Research, 2013, 229, (3), 637-644 View citations (16)
    See also Working Paper On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory, Papers (2013) View citations (16) (2013)

Chapters

2016

1. The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
   Springer