Quantile-based optimal portfolio selection. - Taras Bodnar; Mathias Lindholm; Erik Thorsén; Joanna Tyrcha (Comput. Manag. Sci., 2021)

Bayesian portfolio selection using VaR and CVaR. - Taras Bodnar; Mathias Lindholm; Vilhelm Niklasson; Erik Thorsén (Appl. Math. Comput., 2022)

Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio. - Taras Bodnar; Nestor Parolya; Erik Thorsén (IEEE Trans. Signal Process., 2023)

Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios. - Taras Bodnar; Nestor Parolya; Erik Thorsén (J. Mach. Learn. Res., 2024)

Tangency portfolio weights under a skew-normal model in small and large dimensions. - Farrukh Javed; Stepan Mazur; Erik Thorsén (J. Oper. Res. Soc., 2024)