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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - 2015
Persistent link: https://www.econbiz.de/10011283724
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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
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The distribution of the global minimum variance estimator in elliptical models
Bodnar, Taras; Schmid, Wolfgang - 2003
Persistent link: https://www.econbiz.de/10001916051
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A test for the weights of the global minimum variance portfolio in an elliptical model
Bodnar, Taras; Schmid, Wolfgang - 2004
Persistent link: https://www.econbiz.de/10001916052
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On the exact distribution of the estimated EU portfolio weights : theory and applications
Bodnar, Taras; Schmid, Wolfgang - 2009
Persistent link: https://www.econbiz.de/10003905998
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On the equivalence of quadratic optimization problems commonly used in portfolio theory
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 229 (2013) 3, pp. 637-644
Persistent link: https://www.econbiz.de/10009764304
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Econometrical analysis of the sample efficient frontier
Bodnar, Taras; Schmid, Wolfgang - In: The European journal of finance 15 (2009) 3/4, pp. 317-335
Persistent link: https://www.econbiz.de/10003875458
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Matrix elliptical contoured distributions versus a stable model : application to daily stock returns of eight stock markets
Bodnar, Taras; Schmid, Wolfgang - In: Asset allocation and international investments, (pp. 214-227). 2007
Persistent link: https://www.econbiz.de/10003402358
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Mean-variance efficiency of optimal power and logarithmic utility portfolios
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Mathematics and financial economics 14 (2020) 4, pp. 675-698
Persistent link: https://www.econbiz.de/10012321865