113 citations · 569 across the 28 of their papers we have counts for
29 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…
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…
Log determinant of large correlation matrices under infinite fourth moment
Johannes Heiny, Nestor Parolya
In this paper, we show the central limit theorem for the logarithmic determinant of the sample correlation matrix constructed from the -dimensional data m…
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…
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…