Nestor Parolya : Citation Profile


Are you Nestor Parolya?

4

H index

0

i10 index

33

Citations

RESEARCH PRODUCTION:

10

Articles

17

Papers

RESEARCH ACTIVITY:

   7 years (2012 - 2019). See details.
   Cites by year: 4
   Journals where Nestor Parolya has often published
   Relations with other researchers
   Recent citing documents: 18.    Total self citations: 14 (29.79 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa971
   Updated: 2020-01-15    RAS profile: 2020-01-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Nestor Parolya.

Is cited by:

Ledoit, Olivier (1)

Wolf, Michael (1)

Conlon, Thomas (1)

cotter, john (1)

Cites to:

Fan, Jianqing (21)

Memmel, Christoph (16)

Markowitz, Harry (10)

Bai, Jushan (10)

Liao, Yuan (9)

merton, robert (9)

Zhou, Guofu (9)

Ledoit, Olivier (7)

Wolf, Michael (7)

Campbell, John (7)

Golosnoy, Vasyl (6)

Main data


Where Nestor Parolya has published?


Journals with more than one article published# docs
Journal of Multivariate Analysis4
European Journal of Operational Research3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14

Recent works citing Nestor Parolya (2019 and 2018)


YearTitle of citing document
2018Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: Papers. RePEc:arx:papers:1811.06893.

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2019Designing an Optimal Portfolio for Irans Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks. (2019). Barazandeh, Babak ; Fekri, Masoud. In: Papers. RePEc:arx:papers:1903.06632.

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2019Smart network based portfolios. (2019). Hitaj, Asmerilda ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1907.01274.

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2019An approximate solution for the power utility optimization under predictable returns. (2019). Ivasiuk, Dmytro. In: Papers. RePEc:arx:papers:1911.06552.

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2019Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2019Recent advances in functional data analysis and high-dimensional statistics. (2019). Vieu, Philippe ; Genest, Christian ; Fraiman, Ricardo ; Cao, Ricardo ; Aneiros, German. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:3-9.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019Statistical Inference for the Beta Coefficient. (2019). Zabolotskyy, Taras ; Vitlinskyi, Valdemar ; Gupta, Arjun K ; Bodnar, Taras. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:56-:d:231435.

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2018Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: Working Papers. RePEc:hal:wpaper:hal-01923917.

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2018Bayesian inference for the tangent portfolio. (2018). Okhrin, Yarema ; Mazur, Stepan ; Bodnar, Taras ; Bauder, David. In: Working Papers. RePEc:hhs:oruesi:2018_002.

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2019Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?. (2019). Lakshina, Valeria V. In: HSE Working papers. RePEc:hig:wpaper:75/fe/2019.

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2019Active Investment Strategies under Tracking Error Constraints. (2019). Vuuren, Gary ; Maxwell, Michael. In: International Advances in Economic Research. RePEc:kap:iaecre:v:25:y:2019:i:3:d:10.1007_s11294-019-09746-3.

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2018Determination and estimation of risk aversion coefficients. (2018). Bodnar, Taras ; Zabolotskyy, Taras ; Vitlinskyy, Valdemar ; Okhrin, Yarema. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0317-x.

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2018Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory. (2018). Liu, Yong-Jun ; Zhang, Wei-Guo. In: International Journal of Information Technology & Decision Making (IJITDM). RePEc:wsi:ijitdm:v:17:y:2018:i:03:n:s0219622018500190.

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2019Quadratic shrinkage for large covariance matrices. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:335.

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Works by Nestor Parolya:


YearTitleTypeCited
2014A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function In: Papers.
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paper2
2015A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function.(2015) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 2
article
2013On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory In: Papers.
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paper4
2013On the equivalence of quadratic optimization problems commonly used in portfolio theory.(2013) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 4
article
2012On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability In: Papers.
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paper8
2015On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability.(2015) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 8
article
2014Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix In: Papers.
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paper1
2014On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix In: Papers.
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paper1
2014On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix.(2014) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 1
article
2015Estimation of the Global Minimum Variance Portfolio in High Dimensions In: Papers.
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paper6
2018Estimation of the global minimum variance portfolio in high dimensions.(2018) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 6
article
2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers.
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paper1
2019Optimal shrinkage estimator for high-dimensional mean vector.(2019) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 1
article
2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers.
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2017‘To have what they are having’: portfolio choice for mimicking mean–variance savers.(2017) In: Quantitative Finance.
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This paper has another version. Agregated cites: 0
article
2018Optimal shrinkage-based portfolio selection in high dimensions In: Papers.
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paper0
2017Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility In: Papers.
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2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting In: Papers.
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2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty In: Papers.
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paper4
2019Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios In: Papers.
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2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions In: Papers.
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2019Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions In: Scandinavian Journal of Statistics.
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article1
2017Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2016Direct shrinkage estimation of large dimensional precision matrix In: Journal of Multivariate Analysis.
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article4
2016Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix In: Journal of Multivariate Analysis.
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article1
2017Discriminant analysis in small and large dimensions In: Working Papers.
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paper0
2017On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions In: Working Papers.
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