113 citations · 569 across the 28 of their papers we have counts for
7 papers · 1 filter
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…
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…
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya +1
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution…
`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance Savers
Vasyl Golosnoy, Nestor Parolya
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of oth…
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asse…
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems b…
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results…