19 citations · 25 across the 3 of their papers we have counts for
3 papers
math.ST2022
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…
q-fin.ST2021★ 6 cited
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Taras Bodnar, Nestor Parolya, Erik Thorsen
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage t…
q-fin.PM2019★ 19 cited
Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions
Taras Bodnar, Holger Dette, Nestor Parolya +1
Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor wants to realise the position suggested by the optima…