Nestor Parolya : Citation Profile

9

H index

9

i10 index

187

Citations

RESEARCH PRODUCTION:

17

Articles

23

Papers

3

Chapters

RESEARCH ACTIVITY:

   13 years (2012 - 2025). See details.
   Cites by year: 14
   Journals where Nestor Parolya has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 24 (11.37 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa971
   Updated: 2026-05-02    RAS profile: 2025-04-28    
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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)

Challet, Damien (3)

Escobar Anel, Marcos (3)

Fuertes, Ana-Maria (2)

Birge, John (2)

cotter, john (2)

Conlon, Thomas (2)

Shang, Han Lin (2)

Karlsson, Sune (2)

Vrins, Frédéric (1)

Cites to:

Fan, Jianqing (29)

Memmel, Christoph (29)

merton, robert (19)

Bai, Jushan (13)

Markowitz, Harry (12)

Golosnoy, Vasyl (11)

Ledoit, Olivier (11)

Wolf, Michael (11)

Zhou, Guofu (11)

Liao, Yuan (11)

Santa-Clara, Pedro (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
2025Shrink with Purpose: Optimal Covariance Matrix Estimation for Portfolio Selection. (2025). Vrins, Frdric ; Vanderveken, Rodolphe ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2025002.

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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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2026Class of topological portfolios: Are they better than classical portfolios?. (2026). Kanniainen, Juho ; Goel, Anubha ; Sharma, Amita. In: Papers. RePEc:arx:papers:2601.03974.

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2026Shrinkage Estimators for Mean and Covariance: Evidence on Portfolio Efficiency Across Market Dimensions. (2026). Mehra, Aparna ; Sharma, Amita ; Yadav, Rupendra. In: Papers. RePEc:arx:papers:2601.20643.

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2026A Novel approach to portfolio construction. (2026). Zoia, M G ; Riso, L ; di Matteo, T. In: Papers. RePEc:arx:papers:2602.03325.

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2026Sustainable Investment: ESG Impacts on Large Portfolio. (2026). Yang, Yanrong ; Lu, Yonghe ; Wu, Ruike. In: Papers. RePEc:arx:papers:2602.14439.

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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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2025Making distributionally robust portfolios feasible in high dimension. (2025). Shang, Han Lin ; Yang, Yanrong ; Wu, Ruike ; Zhu, Huanjun. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001721.

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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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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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2026Continuous-time optimal investment with portfolio constraints: A reinforcement learning approach. (2026). Nguyen, Thai ; Chau, Huy. In: European Journal of Operational Research. RePEc:eee:ejores:v:328:y:2026:i:3:p:1068-1092.

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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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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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2026Improved estimation of mean matrix in singular elliptically contoured random samples with high-dimensional data. (2026). Nkurunziza, Svrien ; Foroushani, Arash A. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:35:y:2026:i:1:d:10.1007_s11749-025-00990-w.

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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]		paper11
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: 11		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]		paper10
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: 10		article
2015Estimation of the Global Minimum Variance Portfolio in High Dimensions In: Papers.
[Full Text][Citation analysis]		paper39
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: 39		article
2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector In: Papers.
[Full Text][Citation analysis]		paper10
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: 10		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Optimal shrinkage-based portfolio selection in high dimensions In: Papers.
[Full Text][Citation analysis]		paper17
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: 17		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.
[Full Text][Citation analysis]
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]		article11
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]		article3
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]		paper10
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
2020Spectral Analysis of Large Reflexive Generalized Inverse and Moore-Penrose Inverse Matrices In: Springer Books.
[Citation analysis]		chapter0
2024Linear Shrinkage-Based Hypothesis Test for Large-Dimensional Covariance Matrix In: Springer Books.
[Citation analysis]		chapter0

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