3 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.RM2022
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…
q-fin.ST2022★ 2 cited
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…
q-fin.ST2021★ 3 cited
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Taras Bodnar, Nestor Parolya, Erik Thorsén
The main contribution of this paper is the derivation of the asymptotic behaviour of the out-of-sample variance, the out-of-sample relative loss, and of their empirical counterpart…