7
H index
3
i10 index
138
Citations
Nestor Parolya : Citation Profile
| RESEARCH PRODUCTION: 16 Articles 23 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2012 - 2024). 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:
| Cites to:
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Main data
Where Nestor Parolya has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Multivariate Analysis | 6 |
| European Journal of Operational Research | 3 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 19 |
| Working Papers / �rebro University, School of Business | 3 |
Recent works citing Nestor Parolya (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | The distribution of sample mean-variance portfolio weights. (2023). Lassance, Nathan ; Kan, Raymond ; Wang, Xiaolu. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023006. Full description at Econpapers || Download paper |
| 2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper |
| 2023 | Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384. Full description at Econpapers || Download paper |
| 2023 | Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512. Full description at Econpapers || Download paper |
| 2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
| 2023 | Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization. (2023). Challet, Damien ; Bongiorno, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005608. Full description at Econpapers || Download paper |
| 2024 | Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Jain, Shashi ; Dutta, Sumanjay. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562. Full description at Econpapers || Download paper |
| 2024 | Tail mean-variance portfolio selection with estimation risk. (2024). Weng, Chengguo ; Wei, Pengyu ; Huang, Zhenzhen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234. Full description at Econpapers || Download paper |
| 2023 | Likelihood ratio tests under model misspecification in high dimensions. (2023). Dornemann, Nina. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001130. Full description at Econpapers || Download paper |
| 2023 | Semiparametric estimation of the high-dimensional elliptical distribution. (2023). Okhrin, Ostap ; Liebscher, Eckhard. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001336. Full description at Econpapers || Download paper |
| 2023 | Exact test theory in Gaussian graphical models. (2023). Touli, Elena Farahbakhsh ; Bodnar, Olha. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:196:y:2023:i:c:s0047259x23000313. Full description at Econpapers || Download paper |
| 2023 | A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181. Full description at Econpapers || Download paper |
| 2024 | Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach. (2024). Yang, Xiaoying ; Du, Nanjiang ; Cui, Tianxiang ; Ding, Shusheng. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006297. Full description at Econpapers || Download paper |
| 2023 | A test on the location of tangency portfolio for small sample size and singular covariance matrix. (2023). Muhinyuza, Stanislas ; Mazur, Stepan ; Drin, Svitlana. In: Working Papers. RePEc:hhs:oruesi:2023_011. Full description at Econpapers || Download paper |
| 2023 | Predictability of market returns for the UK fs former colonies, protectorates, and mandates. (2021). Sakamoto, Jun ; Hidaka, Takuro. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2108. Full description at Econpapers || Download paper |
| 2023 | Large portfolio optimisation approaches. (2023). Önder, A. Özlem ; Ulasan, Esra. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00322-3. Full description at Econpapers || Download paper |
| 2023 | Polynomial whitening for high-dimensional data. (2023). Zhigljavsky, Anatoly ; Oriordan, Emily ; Gillard, Jonathan. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:3:d:10.1007_s00180-022-01277-6. Full description at Econpapers || Download paper |
| 2023 | Limiting distributions of the likelihood ratio test statistics for independence of normal random vectors. (2023). Qi, Yongcheng ; Hu, Mingyue. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:3:d:10.1007_s00362-022-01348-2. Full description at Econpapers || Download paper |
| 2023 | Block-diagonal test for high-dimensional covariance matrices. (2023). Zheng, Shurong ; Zhao, Kaige ; Wang, Xiaoyi ; Lai, Jiayu. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00842-x. Full description at Econpapers || Download paper |
Works by Nestor Parolya:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function.(2015) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2013 | On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | On the equivalence of quadratic optimization problems commonly used in portfolio theory.(2013) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2012 | On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2015 | On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability.(2015) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2014 | Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix.(2014) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Estimation of the Global Minimum Variance Portfolio in High Dimensions In: Papers. [Full Text][Citation analysis] | paper | 27 |
| 2018 | Estimation of the global minimum variance portfolio in high dimensions.(2018) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2018 | Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2019 | Optimal shrinkage estimator for high-dimensional mean vector.(2019) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2016 | `To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | ‘To have what they are having’: portfolio choice for mimicking mean–variance savers.(2017) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Optimal shrinkage-based portfolio selection in high dimensions In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2022 | Optimal Shrinkage-Based Portfolio Selection in High Dimensions.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2017 | Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Bayesian inference of the multi-period optimal portfolio for an exponential utility.(2020) In: Journal of Multivariate Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2019 | Tests for the weights of the global minimum variance portfolio in a high-dimensional setting In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2021 | Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2019 | Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2020 | Statistical inference for the EU portfolio in high dimensions In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?.(2023) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2022 | Two is better than one: Regularized shrinkage of large minimum variance portfolio In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Central 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. [Full Text][Citation analysis] | article | 5 |
| 2017 | Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2016 | Direct shrinkage estimation of large dimensional precision matrix In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 6 |
| 2016 | Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 4 |
| 2022 | Recent advances in shrinkage-based high-dimensional inference In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 1 |
| 2017 | Discriminant analysis in small and large dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2019 | Testing for independence of large dimensional vectors In: MPRA Paper. [Full Text][Citation analysis] | paper | 7 |
| 2023 | Multi-period power utility optimization under stock return predictability In: Computational Management Science. [Full Text][Citation analysis] | article | 0 |
| 2016 | The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility In: Operations Research Proceedings. [Citation analysis] | chapter | 0 |
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