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Details about Nestor Parolya

Homepage:http://ta.twi.tudelft.nl/dv/users/parolya/
Workplace:Technische Universiteit Delft, Faculteit Elektrotechniek, Wiskunde & Informatica, Department of Applied Mathematics

Access statistics for papers by Nestor Parolya.

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

Short-id: ppa971


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Working Papers

2024

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

2023

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

2022

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

2021

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

2020

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

2019

  1. Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
    Papers, arXiv.org Downloads View citations (1)
  2. Testing for independence of large dimensional vectors
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
  3. Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
    Papers, arXiv.org Downloads View citations (15)

2018

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

2017

  1. Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
    Papers, arXiv.org Downloads 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) Downloads View citations (5) (2020)
  2. 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 Downloads 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) Downloads View citations (5) (2019)
  3. Discriminant analysis in small and large dimensions
    Working Papers, Örebro University, School of Business Downloads
  4. On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions
    Working Papers, Örebro University, School of Business Downloads View citations (3)

2016

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

2015

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

2014

  1. A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
    Papers, arXiv.org Downloads
    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) Downloads View citations (10) (2015)
  2. On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
    Papers, arXiv.org Downloads View citations (20)
    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) Downloads View citations (15) (2014)
  3. Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
    Papers, arXiv.org Downloads View citations (2)

2013

  1. On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
    Papers, arXiv.org Downloads 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) Downloads View citations (16) (2013)

2012

  1. On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
    Papers, arXiv.org Downloads
    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) Downloads View citations (18) (2015)

Journal Articles

2025

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

2023

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

2022

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

2021

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

2020

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

2019

  1. 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 Downloads 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) Downloads View citations (2) (2017)
  2. Optimal shrinkage estimator for high-dimensional mean vector
    Journal of Multivariate Analysis, 2019, 170, (C), 63-79 Downloads View citations (10)
    See also Working Paper Optimal Shrinkage Estimator for High-Dimensional Mean Vector, Papers (2018) Downloads View citations (1) (2018)

2018

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

2017

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

2016

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

2015

  1. 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 Downloads 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) Downloads (2014)
  2. 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 Downloads 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) Downloads (2012)

2014

  1. On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
    Journal of Multivariate Analysis, 2014, 132, (C), 215-228 Downloads View citations (15)
    See also Working Paper On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix, Papers (2014) Downloads View citations (20) (2014)

2013

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

Chapters

2016

  1. The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
    Springer
 
Page updated 2025-03-23