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Taras Bodnar
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2020 – today
- 2025
- [j31]Olha Bodnar, Taras Bodnar:
Birge ratio method for modeling dark uncertainty in multivariate meta-analyses and inter-laboratory studies. J. Multivar. Anal. 205: 105376 (2025) - 2024
- [j30]Olha Bodnar, Taras Bodnar:
Gibbs sampler approach for objective Bayesian inference in elliptical multivariate meta-analysis random effects model. Comput. Stat. Data Anal. 197: 107990 (2024) - [j29]Taras Bodnar, Nestor Parolya, Erik Thorsén:
Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios. J. Mach. Learn. Res. 25: 173:1-173:32 (2024) - [j28]Christian Genest, Ostap Okhrin, Taras Bodnar:
Copula modeling from Abe Sklar to the present day. J. Multivar. Anal. 201: 105278 (2024) - [j27]Christian Genest, Ostap Okhrin, Taras Bodnar:
Preface to the Special Issue "Copula modeling from Abe Sklar to the present day". J. Multivar. Anal. 201: 105280 (2024) - 2023
- [j26]Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, Wolfgang Schmid:
Multi-period power utility optimization under stock return predictability. Comput. Manag. Sci. 20(1): 4 (2023) - [j25]Taras Bodnar, Nestor Parolya, Erik Thorsén:
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. IEEE Trans. Signal Process. 71: 1334-1349 (2023) - 2022
- [j24]Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén:
Bayesian portfolio selection using VaR and CVaR. Appl. Math. Comput. 427: 127120 (2022) - [j23]Olha Bodnar, Taras Bodnar, Nestor Parolya:
Recent advances in shrinkage-based high-dimensional inference. J. Multivar. Anal. 188: 104826 (2022) - 2021
- [j22]Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha:
Quantile-based optimal portfolio selection. Comput. Manag. Sci. 18(3): 299-324 (2021) - [j21]Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya, Wolfgang Schmid:
Statistical Inference for the Expected Utility Portfolio in High Dimensions. IEEE Trans. Signal Process. 69: 1-14 (2021) - 2020
- [j20]Stanislas Muhinyuza, Taras Bodnar, Mathias Lindholm:
A test on the location of the tangency portfolio on the set of feasible portfolios. Appl. Math. Comput. 386: 125519 (2020) - [j19]David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
Bayesian inference of the multi-period optimal portfolio for an exponential utility. J. Multivar. Anal. 175 (2020)
2010 – 2019
- 2019
- [j18]Taras Bodnar, Ostap Okhrin, Nestor Parolya:
Optimal shrinkage estimator for high-dimensional mean vector. J. Multivar. Anal. 170: 63-79 (2019) - [j17]Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid:
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting. IEEE Trans. Signal Process. 67(17): 4479-4493 (2019) - 2018
- [j16]Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy:
Determination and estimation of risk aversion coefficients. Comput. Manag. Sci. 15(2): 297-317 (2018) - [j15]Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
Estimation of the global minimum variance portfolio in high dimensions. Eur. J. Oper. Res. 266(1): 371-390 (2018) - 2017
- [j14]Taras Bodnar, Stepan Mazur, Yarema Okhrin:
Bayesian estimation of the global minimum variance portfolio. Eur. J. Oper. Res. 256(1): 292-307 (2017) - 2016
- [j13]Taras Bodnar, Stepan Mazur, Krzysztof Podgórski:
Singular inverse Wishart distribution and its application to portfolio theory. J. Multivar. Anal. 143: 314-326 (2016) - [j12]Taras Bodnar, Arjun K. Gupta, Nestor Parolya:
Direct shrinkage estimation of large dimensional precision matrix. J. Multivar. Anal. 146: 223-236 (2016) - [j11]Taras Bodnar, Holger Dette, Nestor Parolya:
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix. J. Multivar. Anal. 148: 160-172 (2016) - [j10]Taras Bodnar, Markus Reiß:
Exact and asymptotic tests on a factor model in low and large dimensions with applications. J. Multivar. Anal. 150: 125-151 (2016) - 2015
- [j9]Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function. Ann. Oper. Res. 229(1): 121-158 (2015) - [j8]Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability. Eur. J. Oper. Res. 246(2): 528-542 (2015) - 2014
- [j7]Arjun K. Gupta, Taras Bodnar:
An exact test about the covariance matrix. J. Multivar. Anal. 125: 176-189 (2014) - [j6]Taras Bodnar, Arjun K. Gupta, Nestor Parolya:
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix. J. Multivar. Anal. 132: 215-228 (2014) - [c1]Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility. OR 2014: 45-51 - 2013
- [j5]Taras Bodnar, Yarema Okhrin:
Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio? Appl. Math. Comput. 219(10): 5440-5448 (2013) - [j4]Taras Bodnar, Nestor Parolya, Wolfgang Schmid:
On the equivalence of quadratic optimization problems commonly used in portfolio theory. Eur. J. Oper. Res. 229(3): 637-644 (2013) - [j3]Taras Bodnar, Stepan Mazur, Yarema Okhrin:
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector. J. Multivar. Anal. 122: 70-81 (2013) - 2010
- [j2]Olha Bodnar, Taras Bodnar, Arjun K. Gupta:
Estimation and inference for dependence in multivariate data. J. Multivar. Anal. 101(4): 869-881 (2010)
2000 – 2009
- 2009
- [j1]Olha Bodnar, Taras Bodnar, Yarema Okhrin:
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution. Comput. Stat. Data Anal. 53(9): 3372-3385 (2009)
Coauthor Index
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