113 citations · 569 across the 28 of their papers we have counts for
5 papers · 1 filter
On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Taras Bodnar, Stepan Mazur, Stanislas Muhinyuza +1
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product,…
`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…
Optimal shrinkage-based portfolio selection in high dimensions
Taras Bodnar, Yarema Okhrin, Nestor Parolya
In this paper we estimate the mean-variance portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage esti…
Optimal Shrinkage Estimator for High-Dimensional Mean Vector
Taras Bodnar, Ostap Okhrin, Nestor Parolya
In this paper we derive the optimal linear shrinkage estimator for the high-dimensional mean vector using random matrix theory. The results are obtained under the assumption that b…
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Taras Bodnar, Stepan Mazur, Nestor Parolya
In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of ob…