Nestor Parolya : Citation Profile

8

H index

6

i10 index

172

Citations

RESEARCH PRODUCTION:

17

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (2012 - 2025). See details.
   Cites by year: 13
   Journals where Nestor Parolya has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 24 (12.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa971
   Updated: 2025-12-13    RAS profile: 2025-03-15    
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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:

Mazur, Stepan (26)

Nguyen, Hoang (5)

Escobar Anel, Marcos (3)

Challet, Damien (3)

Conlon, Thomas (2)

Karlsson, Sune (2)

cotter, john (2)

Fuertes, Ana-Maria (2)

Birge, John (2)

Vrins, Frédéric (1)

De Nard, Gianluca (1)

Cites to:

Memmel, Christoph (29)

Fan, Jianqing (29)

merton, robert (19)

Bai, Jushan (13)

Markowitz, Harry (12)

Ledoit, Olivier (11)

Zhou, Guofu (11)

Golosnoy, Vasyl (11)

Liao, Yuan (11)

Wolf, Michael (11)

Mazur, Stepan (9)

Main data

Where Nestor Parolya has published?

Journals with more than one article published# docs
Journal of Multivariate Analysis6
European Journal of Operational Research3
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org19
Working Papers / rebro University, School of Business3

Recent works citing Nestor Parolya (2025 and 2024)

YearTitle of citing document
2024Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns. (2024). Babazadeh, Reza ; Gharanchaei, Maysam Khodayari. In: Papers. RePEc:arx:papers:2409.14510.

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2024Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach. (2024). Nguyen, Thai ; Chau, Huy. In: Papers. RePEc:arx:papers:2412.10692.

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2025Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545.

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2025Estimating Covariance for Global Minimum Variance Portfolio: A Decision-Focused Learning Approach. (2025). Lee, Yongjae ; Tae, Inwoo ; Kim, Juchan. In: Papers. RePEc:arx:papers:2508.10776.

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2025Bayesian Portfolio Optimization by Predictive Synthesis. (2025). Baba, Kentaro ; Kaibuchi, Hibiki ; Kato, Masahiro ; Inokuchi, Ryo. In: Papers. RePEc:arx:papers:2510.07180.

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2025Selection Confidence Sets for Equally Weighted Portfolios. (2025). Ferrari, Davide ; Fulci, Alessandro ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:2510.14988.

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2025Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications. (2025). Escobar Anel, Marcos ; Yang, Yu-Jung ; Escobar-Anel, Marcos ; Zagst, Rudi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000166.

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2024Optimal investment in ambiguous financial markets with learning. (2024). Bauerle, Nicole ; Mahayni, Antje. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:393-410.

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2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2025Portfolio optimization with estimation errors—A robust linear regression approach. (2025). Du, Yilin ; He, Wenfeng ; Mei, Xiaoling. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000416.

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2024Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040.

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2024Pragmatic attitude to large-scale Markowitz’s portfolio optimization and factor-augmented derating. (2024). Zheng, Shurong ; Wong, Wing-Keung ; Shi, Mengjie ; Hui, Yongchang. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400560x.

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2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

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2024Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Dutta, Sumanjay ; Jain, Shashi. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562.

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2024Limiting out-of-sample performance of optimal unconstrained portfolios. (2024). Birge, John ; Chavez-Bedoya, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009164.

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2024Tail mean-variance portfolio selection with estimation risk. (2024). Huang, Zhenzhen ; Wei, Pengyu ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234.

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2024Exponential bounds for regularized Hotelling’s T2 statistic in high dimension. (2024). Bertail, Patrice ; Gautherat, Emmanuelle ; Issouani, El Mehdi. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000496.

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2025Improved Gaussian mean matrix estimators in high-dimensional data. (2025). Foroushani, Arash A ; Nkurunziza, Svrien. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000193.

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2024Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach. (2024). Yang, Xiaoying ; Cui, Tianxiang ; Ding, Shusheng ; Du, Nanjiang. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006297.

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2025Optimal Portfolio Analysis Using Power and Natural Logarithm Utility Functions with E-Commerce Data. (2025). Herdiana, Ratna ; Hariyanto, Susilo ; Ansori, Moch Fandi ; Diyanti, Apni. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:127-:d:1694624.

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2024Portfolio Selection with Hierarchical Isomorphic Risk Aversion. (2024). Chiu, Wan-Yi. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:21:p:3375-:d:1508377.

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2025An Empirical Study of Robust Mean-Variance Portfolios with Short Selling. (2025). Dhingra, Vrinda ; Gupta, S K. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10783-2.

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2024Properties of risk aversion estimated from portfolio weights. (2024). Satchell, Steve ; Kwon, Oh Kang ; Grant, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00375-y.

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2025.

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2025Change point detection in high dimensional covariance matrix using Pillai’s statistics. (2025). Cho, Seonghun ; Lim, Johan ; Shin, Minsup. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:109:y:2025:i:1:d:10.1007_s10182-024-00516-z.

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2024Portfolio optimization for sustainable investments. (2024). Poddig, Thorsten ; Fieberg, Christian ; Varmaz, Armin. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06189-w.

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2025Portfolio selection revisited. (2025). Shkolnik, Alex ; Gurdogan, Hubeyb ; Kercheval, Alec ; Bar, Haim ; Goldberg, Lisa R. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06340-7.

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2025Sparse graphical modelling for global minimum variance portfolio. (2025). Sobczyk, Piotr ; Riccobello, Riccardo ; Bonaccolto, Giovanni ; Kremer, Philipp J ; Paterlini, Sandra ; Bogdan, Magorzata. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00535-4.

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2025Portfolio optimisation via strategy-specific eigenvector shrinkage. (2025). Goldberg, Lisa R ; Gurdogan, Hubeyb ; Kercheval, Alec. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:3:d:10.1007_s00780-025-00566-4.

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2025Bayesian learning in dynamic portfolio selection under a minimax rule. (2025). Yu, Gen ; Cai, Xiaoqiang. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00786-8.

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2025Block covariance matrix estimation with structured off-diagonal blocks. (2025). Mokrzycka, Monika ; Mrowiska, Malwina. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:6:d:10.1007_s00362-025-01736-4.

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2025AI shrinkage: a data-driven approach for risk-optimized portfolios. (2025). De Nard, Gianluca ; Kostovic, Damjan. In: ECON - Working Papers. RePEc:zur:econwp:470.

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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.
[Full Text][Citation analysis]		paper5
2015A 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
2013On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory In: Papers.
[Full Text][Citation analysis]		paper10
2013On 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: 10		article
2012On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability In: Papers.
[Full Text][Citation analysis]		paper16
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2014Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix In: Papers.
[Full Text][Citation analysis]		paper2
2014On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix In: Papers.
[Full Text][Citation analysis]		paper8
2014On 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: 8		article
2015Estimation of the Global Minimum Variance Portfolio in High Dimensions In: Papers.
[Full Text][Citation analysis]		paper37
2018Estimation 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: 37		article
2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers.
[Full Text][Citation analysis]		paper7
2019Optimal shrinkage estimator for high-dimensional mean vector.(2019) In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers In: Papers.
[Full Text][Citation analysis]		paper0
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 nother version. Agregated cites: 0		article
2021Optimal shrinkage-based portfolio selection in high dimensions In: Papers.
[Full Text][Citation analysis]		paper14
2022Optimal 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: 14		article
2017Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility In: Papers.
[Full Text][Citation analysis]		paper5
2020Bayesian 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
2019Tests for the weights of the global minimum variance portfolio in a high-dimensional setting In: Papers.
[Full Text][Citation analysis]		paper7
2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty In: Papers.
[Full Text][Citation analysis]		paper19
2021Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty.(2021) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2019Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios In: Papers.
[Full Text][Citation analysis]		paper2
2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper1
2020Statistical inference for the EU portfolio in high dimensions In: Papers.
[Full Text][Citation analysis]		paper0
2021Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio In: Papers.
[Full Text][Citation analysis]		paper0
2021Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios? In: Papers.
[Full Text][Citation analysis]		paper1
2023Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?.(2023) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 1		article
2022Two is better than one: Regularized shrinkage of large minimum variance portfolio In: Papers.
[Full Text][Citation analysis]		paper0
2024Consistent Estimation of the High-Dimensional Efficient Frontier In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article5
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2025Nonlinear shrinkage test on a large‐dimensional covariance matrix In: Statistica Neerlandica.
[Full Text][Citation analysis]		article0
2016Direct shrinkage estimation of large dimensional precision matrix In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article10
2016Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article4
2022Recent advances in shrinkage-based high-dimensional inference In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2017Discriminant analysis in small and large dimensions In: Working Papers.
[Full Text][Citation analysis]		paper2
2017On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions In: Working Papers.
[Full Text][Citation analysis]		paper6
2019Testing for independence of large dimensional vectors In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2023Multi-period power utility optimization under stock return predictability In: Computational Management Science.
[Full Text][Citation analysis]		article1
2016The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility In: Operations Research Proceedings.
[Citation analysis]		chapter0

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