113 citations · 569 across the 28 of their papers we have counts for
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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…
math.ST2020★ 3 cited
Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices
Taras Bodnar, Nestor Parolya
A reflexive generalized inverse and the Moore-Penrose inverse are often confused in statistical literature but in fact they have completely different behaviour in case the populati…