24 citations · 24 across the 1 of their papers we have counts for
2 papers
q-fin.PM2020★ 24 cited
Statistical inference for the EU portfolio in high dimensions
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin +2
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency…
q-fin.ST2017
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya +1
In this study, we construct two tests for the weights of the global minimum variance portfolio (GMVP) in a high-dimensional setting, namely, when the number of assets depends o…