113 citations · 564 across the 30 of their papers we have counts for
32 papers
Consistent Estimation of the High-Dimensional Efficient Frontier
Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin +1
In this paper, we analyze the asymptotic behavior of the main characteristics of the mean-variance efficient frontier employing random matrix theory. Our particular interest covers…
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications
Taras Bodnar, Nestor Parolya
In this paper, we derive high-dimensional asymptotic properties of the Moore-Penrose inverse and, as a byproduct, of various ridge-type inverses of the sample covariance matrix. In…
Gibbs sampler approach for objective Bayeisan inference in elliptical multivariate random effects model
Olha Bodnar, Taras Bodnar
In this paper, we present the Bayesian inference procedures for the parameters of the multivariate random effects model derived under the assumption of an elliptically contoured di…
Estimation of sub-Gaussian random vectors using the method of moments
Taras Bodnar, Dmitry Otryakhin, Erik Thorsen
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addre…
Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR
Taras Bodnar, Vilhelm Niklasson, Erik Thorsén
In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is…
Two is better than one: Regularized shrinkage of large minimum variance portfolio
Taras Bodnar, Nestor Parolya, Erik Thorsén
In this paper we construct a shrinkage estimator of the global minimum variance (GMV) portfolio by a combination of two techniques: Tikhonov regularization and direct shrinkage of…