On the equivalence of quadratic optimization problems commonly used in portfolio theory. - Taras Bodnar; Nestor Parolya; Wolfgang Schmid (Eur. J. Oper. Res., 2013)

The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility. - Taras Bodnar; Nestor Parolya; Wolfgang Schmid (OR, 2014)

On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix. - Taras Bodnar; Arjun K. Gupta; Nestor Parolya (J. Multivar. Anal., 2014)

A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function. - Taras Bodnar; Nestor Parolya; Wolfgang Schmid (Ann. Oper. Res., 2015)

On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability. - Taras Bodnar; Nestor Parolya; Wolfgang Schmid (Eur. J. Oper. Res., 2015)

Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix. - Taras Bodnar; Holger Dette; Nestor Parolya (J. Multivar. Anal., 2016)

Direct shrinkage estimation of large dimensional precision matrix. - Taras Bodnar; Arjun K. Gupta; Nestor Parolya (J. Multivar. Anal., 2016)

Estimation of the global minimum variance portfolio in high dimensions. - Taras Bodnar; Nestor Parolya; Wolfgang Schmid (Eur. J. Oper. Res., 2018)

Optimal shrinkage estimator for high-dimensional mean vector. - Taras Bodnar; Ostap Okhrin; Nestor Parolya (J. Multivar. Anal., 2019)

Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting. - Taras Bodnar; Solomiia Dmytriv; Nestor Parolya; Wolfgang Schmid (IEEE Trans. Signal Process., 2019)

Bayesian inference of the multi-period optimal portfolio for an exponential utility. - David Bauder; Taras Bodnar; Nestor Parolya; Wolfgang Schmid (J. Multivar. Anal., 2020)

Statistical Inference for the Expected Utility Portfolio in High Dimensions. - Taras Bodnar; Solomiia Dmytriv; Yarema Okhrin; Nestor Parolya; Wolfgang Schmid (IEEE Trans. Signal Process., 2021)

Recent advances in shrinkage-based high-dimensional inference. - Olha Bodnar; Taras Bodnar; Nestor Parolya (J. Multivar. Anal., 2022)

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

Multi-period power utility optimization under stock return predictability. - Taras Bodnar; Dmytro Ivasiuk; Nestor Parolya; Wolfgang Schmid (Comput. Manag. Sci., 2023)

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