113 citations · 569 across the 28 of their papers we have counts for
4 papers · 1 filter
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…
Testing for Independence of Large Dimensional Vectors
Taras Bodnar, Holger Dette, Nestor Parolya
In this paper new tests for the independence of two high-dimensional vectors are investigated. We consider the case where the dimension of the vectors increases with the sample siz…
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
David Bauder, Taras Bodnar, Nestor Parolya +1
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informat…
Discriminant analysis in small and large dimensions
Taras Bodnar, Stepan Mazur, Edward Ngailo +1
We study the distributional properties of the linear discriminant function under the assumption of normality by comparing two groups with the same covariance matrix but different m…