Taras Bodnar
Linköping University(SE)
Publications by Year
Research Areas
Financial Risk and Volatility Modeling, Financial Markets and Investment Strategies, Random Matrices and Applications, Risk and Portfolio Optimization, Stochastic processes and financial applications
Most-Cited Works
- → Elliptically Contoured Models in Statistics and Portfolio Theory(2013)140 cited
- → Bayesian estimation of the global minimum variance portfolio(2016)108 cited
- → Econometrical analysis of the sample efficient frontier(2008)86 cited
- → A test for the weights of the global minimum variance portfolio in an elliptical model(2007)68 cited
- → Properties of the singular, inverse and generalized inverse partitioned Wishart distributions(2008)67 cited
- → Direct shrinkage estimation of large dimensional precision matrix(2015)60 cited
- → Estimation of optimal portfolio compositions for Gaussian returns(2009)54 cited
- → Singular inverse Wishart distribution and its application to portfolio theory(2015)50 cited
- → On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix(2014)47 cited
- → Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty(2018)42 cited