Elliptically contoured models in statistics and portfolio theory AK Gupta, T Varga, T Bodnar Springer, 2013 | 178 | 2013 |
Econometrical analysis of the sample efficient frontier T Bodnar, W Schmid The European journal of finance 15 (3), 317-335, 2009 | 102 | 2009 |
Bayesian estimation of the global minimum variance portfolio T Bodnar, S Mazur, Y Okhrin European Journal of Operational Research 256 (1), 292-307, 2017 | 95 | 2017 |
Estimation of the global minimum variance portfolio in high dimensions T Bodnar, N Parolya, W Schmid European Journal of Operational Research 266 (1), 371-390, 2018 | 90 | 2018 |
A test for the weights of the global minimum variance portfolio in an elliptical model T Bodnar, W Schmid Metrika 67, 127-143, 2008 | 78 | 2008 |
Properties of the singular, inverse and generalized inverse partitioned Wishart distributions T Bodnar, Y Okhrin Journal of Multivariate Analysis 99 (10), 2389-2405, 2008 | 74 | 2008 |
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty D Bauder, T Bodnar, N Parolya, W Schmid Quantitative Finance 21 (2), 221-242, 2021 | 60 | 2021 |
Direct shrinkage estimation of large dimensional precision matrix T Bodnar, AK Gupta, N Parolya Journal of Multivariate Analysis 146, 223-236, 2016 | 54 | 2016 |
Singular inverse Wishart distribution and its application to portfolio theory T Bodnar, S Mazur, K Podgórski Journal of Multivariate Analysis 143, 314-326, 2016 | 54 | 2016 |
On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory T Bodnar, Y Okhrin Scandinavian Journal of Statistics 38 (2), 311-331, 2011 | 47 | 2011 |
Optimal shrinkage-based portfolio selection in high dimensions T Bodnar, Y Okhrin, N Parolya Journal of Business & Economic Statistics 41 (1), 140-156, 2022 | 46 | 2022 |
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability T Bodnar, N Parolya, W Schmid European Journal of Operational Research 246 (2), 528-542, 2015 | 46 | 2015 |
Estimation of optimal portfolio compositions for gaussian returns T Bodnar, W Schmid Statistics & Decisions 26 (3), 179-201, 2009 | 45 | 2009 |
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix T Bodnar, AK Gupta, N Parolya Journal of Multivariate Analysis 132, 215-228, 2014 | 44 | 2014 |
Testing for independence of large dimensional vectors T Bodnar, H Dette, N Parolya The Annals of Statistics 47 (5), 2977-3008, 2019 | 43 | 2019 |
On the equivalence of quadratic optimization problems commonly used in portfolio theory T Bodnar, N Parolya, W Schmid European Journal of Operational Research 229 (3), 637-644, 2013 | 38 | 2013 |
Minimum VaR and Minimum CVaR optimal portfolios: estimators, confidence regions, and tests T Bodnar, W Schmid, T Zabolotskyy Statistics & risk modeling 29 (4), 281-314, 2012 | 34 | 2012 |
How risky is the optimal portfolio which maximizes the Sharpe ratio? T Bodnar, T Zabolotskyy AStA Advances in Statistical Analysis 101, 1-28, 2017 | 31 | 2017 |
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function T Bodnar, N Parolya, W Schmid Annals of Operations Research 229, 121-158, 2015 | 30 | 2015 |
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting T Bodnar, S Dmytriv, N Parolya, W Schmid IEEE Transactions on Signal Processing 67 (17), 4479-4493, 2019 | 28 | 2019 |