113 citations · 373 across the 16 of their papers we have counts for
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q-fin.PM2018★ 2 cited
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…
q-fin.ST2018★ 13 cited
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…