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Statistical inference for the beta coefficient

Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks : open access journal 7 (2019) 2/56, pp. 1-14

The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...

Persistent link: https://www.econbiz.de/10012019030

Determination and estimation of risk aversion coefficients

Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; … - In: Computational Management Science : CMS 15 (2018) 2, pp. 297-317

Persistent link: https://www.econbiz.de/10011876592

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194

Persistent link: https://www.econbiz.de/10011419827

Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions

Bodnar, Taras; Dette, Holger; Parolya, Nestor; … - Sonderforschungsbereich Statistical Modelling of … - 2019

Persistent link: https://www.econbiz.de/10012119286

Bayesian estimation of the global minimum variance portfolio

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307

Persistent link: https://www.econbiz.de/10011611271

Estimation of the global minimum variance portfolio in high dimensions

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 266 (2018) 1, pp. 371-390

Persistent link: https://www.econbiz.de/10011811777

The distribution of the global minimum variance estimator in elliptical models

Bodnar, Taras; Schmid, Wolfgang - 2003

Persistent link: https://www.econbiz.de/10001916051

On the unbiased estimator of the efficient frontier

Bodnar, Olha; Bodnar, Taras - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1065-1073

Persistent link: https://www.econbiz.de/10008906212

Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?

Bodnar, Taras; Parolya, Nestor; Thorsén, Erik - In: Finance research letters 54 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014472777

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021

Persistent link: https://www.econbiz.de/10012603081