113 citations · 373 across the 16 of their papers we have counts for
3 papers · 1 filter
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
David Bauder, Taras Bodnar, Nestor Parolya +1
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have…
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…
Estimation of the Global Minimum Variance Portfolio in High Dimensions
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator whic…