Nestor Parolya : Citation Profile


Are you Nestor Parolya?

5

H index

0

i10 index

47

Citations

RESEARCH PRODUCTION:

11

Articles

18

Papers

RESEARCH ACTIVITY:

   7 years (2012 - 2019). See details.
   Cites by year: 6
   Journals where Nestor Parolya has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 16 (25.4 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa971
   Updated: 2020-08-09    RAS profile: 2020-03-08    
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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:

cotter, john (1)

Conlon, Thomas (1)

Stephan, Andreas (1)

Wolf, Michael (1)

Ledoit, Olivier (1)

Cites to:

Fan, Jianqing (21)

Memmel, Christoph (16)

Markowitz, Harry (10)

Bai, Jushan (10)

Zhou, Guofu (9)

merton, robert (9)

Liao, Yuan (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 Analysis5
European Journal of Operational Research3

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

Recent works citing Nestor Parolya (2020 and 2019)


YearTitle of citing document
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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2020Statistical inference for the EU portfolio in high dimensions. (2020). Schmid, Wolfgang ; Parolya, Nestor ; Okhrin, Yarema ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2005.04761.

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2020Stablecoins 2.0: Economic Foundations and Risk-based Models. (2020). Minca, Andreea ; Liu, Jun-You ; Gudgeon, Lewis ; Harz, Dominik ; Klages-Mundt, Ariah. In: Papers. RePEc:arx:papers:2006.12388.

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2020On the perturbation of the Moore–Penrose inverse of a matrix. (2020). Xu, Xuefeng. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:374:y:2020:i:c:s0096300319309129.

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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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2020Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set. (2020). Sun, Jie ; Ling, Aifan ; Wang, Meihua. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:81-95.

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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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2019A nonparametric test for block-diagonal covariance structure in high dimension and small samples. (2019). Hao, Xinxin ; Xu, Kai. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:551-567.

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2020Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis. (2020). Trichilli, Yousra ; Masmoudi, Afif ; Abbes, Mouna Boujelbene. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918310547.

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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 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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2020A risk perspective of estimating portfolio weights of the global minimum-variance portfolio. (2020). Stephan, Andreas ; Karlsson, Peter ; Holgersson, Thomas. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:1:d:10.1007_s10182-018-00349-7.

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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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2019BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM. (2019). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s0219024919500377.

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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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paper3
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: 3
article
2013On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory In: Papers.
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paper5
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: 5
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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paper9
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: 9
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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paper2
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: 2
article
2015Estimation of the Global Minimum Variance Portfolio in High Dimensions In: Papers.
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paper8
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: 8
article
2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers.
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paper2
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: 2
article
2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers.
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paper0
2018Optimal shrinkage-based portfolio selection in high dimensions In: Papers.
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2017Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility In: Papers.
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2020Bayesian inference of the multi-period optimal portfolio for an exponential utility.(2020) In: Journal of Multivariate Analysis.
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This paper has another version. Agregated cites: 0
article
2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting In: Papers.
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paper1
2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty In: Papers.
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paper6
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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2016Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix In: Journal of Multivariate Analysis.
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article2
2017Discriminant analysis in small and large dimensions In: Working Papers.
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2017On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions In: Working Papers.
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2019Testing for independence of large dimensional vectors In: MPRA Paper.
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2017‘To have what they are having’: portfolio choice for mimicking mean–variance savers In: Quantitative Finance.
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