Erik Thorsén

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All published works

Action	Title	Year	Authors
+	Estimation of the multivariate symmetric stable distribution using the method of moments	2024	Taras Bodnar Dmitry Otryakhin Erik Thorsén
+	Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?	2023	Taras Bodnar Nestor Parolya Erik Thorsén
+ PDF Chat	Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio	2023	Taras Bodnar Nestor Parolya Erik Thorsén
+ PDF Chat	Is the Empirical Out-of-Sample Variance an Informative Risk Measure for the High-Dimensional Portfolios?	2023	Taras Bodnar Nestor Parolya Erik Thorsén
+	Two is better than one: Regularized shrinkage of large minimum variance portfolio	2022	Taras Bodnar Nestor Parolya Erik Thorsén
+	Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR	2022	Taras Bodnar Vilhelm Niklasson Erik Thorsén
+	Estimation of sub-Gaussian random vectors using the method of moments	2022	Taras Bodnar Dmitry Otryakhin Erik Thorsén
+ PDF Chat	Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions	2021	Taras Bodnar Holger Dette Nestor Parolya Erik Thorsén
+	Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?	2021	Taras Bodnar Nestor Parolya Erik Thorsén
+	Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio	2021	Taras Bodnar Nestor Parolya Erik Thorsén
+	Bayesian Quantile-Based Portfolio Selection	2020	Taras Bodnar Mathias Lindholm Vilhelm Niklasson Erik Thorsén
+	Bayesian Quantile-Based Portfolio Selection	2020	Taras Bodnar Mathias Lindholm Vilhelm Niklasson Erik Thorsén
+	Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions	2019	Taras Bodnar Holger Dette Nestor Parolya Erik Thorsén

Common Coauthors

Coauthor	Papers Together
Taras Bodnar	13
Nestor Parolya	8
Vilhelm Niklasson	3
Mathias Lindholm	2
Holger Dette	2
Dmitry Otryakhin	2

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Estimation of the global minimum variance portfolio in high dimensions	2017	Taras Bodnar Nestor Parolya Wolfgang Schmid	6
+ PDF Chat	Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting	2019	Taras Bodnar Solomiia Dmytriv Nestor Parolya Wolfgang Schmid	6
+ PDF Chat	Optimal Shrinkage-Based Portfolio Selection in High Dimensions	2021	Taras Bodnar Yarema Okhrin Nestor Parolya	5
+ PDF Chat	Spectral Analysis of Large Dimensional Random Matrices	2009	Zhidong Bai Jack W. Silverstein	5
+ PDF Chat	Testing for independence of large dimensional vectors	2019	Taras Bodnar Holger Dette Nestor Parolya	4
+ PDF Chat	Statistical Inference for the Expected Utility Portfolio in High Dimensions	2020	Taras Bodnar Solomiia Dmytriv Yarema Okhrin Nestor Parolya Wolfgang Schmid	4
+ PDF Chat	Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk	2012	Francisco R. Rubio Xavier Mestre Daniel P. Palomar	4
+ PDF Chat	Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions	2021	Taras Bodnar Holger Dette Nestor Parolya Erik Thorsén	3
+	Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices	2014	Cheng Wang Tiejun Tong Longbing Cao Miao Bai-qi	3
+	A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model	2010	Arnold Zellner Tomohiro Ando	3
+	Direct shrinkage estimation of large dimensional precision matrix	2015	Taras Bodnar Arjun K. Gupta Nestor Parolya	3
+	The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice	1993	Vijay K. Chopra William T. Ziemba	3
+	ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER	2010	Olha Bodnar Taras Bodnar	3
+	Optimal shrinkage estimator for high-dimensional mean vector	2018	Taras Bodnar Ostap Okhrin Nestor Parolya	3
+	Asymptotic Theory of Statistics and Probability	2008	Anirban Dasgupta	2
+ PDF Chat	Spectral convergence for a general class of random matrices	2011	Francisco R. Rubio Xavier Mestre	2
+ PDF Chat	Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions	2019	Taras Bodnar Stepan Mazur Nestor Parolya	2
+	Exact and asymptotic tests on a factor model in low and large dimensions with applications	2016	Taras Bodnar Markus Reiß	2
+ PDF Chat	Large Covariance Estimation by Thresholding Principal Orthogonal Complements	2013	Jianqing Fan Yuan Liao Martina Mincheva	2
+	On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix	2014	Taras Bodnar Arjun K. Gupta Nestor Parolya	2
+	Large Sample Covariance Matrices and High-Dimensional Data Analysis	2015	Jianfeng Yao Shurong Zheng Zhidong Bai	2
+ PDF Chat	Optimal rates of convergence for covariance matrix estimation	2010	Tommaso Cai Cun-Hui Zhang Harrison H. Zhou	2
+	Properties of the singular, inverse and generalized inverse partitioned Wishart distributions	2008	Taras Bodnar Yarema Okhrin	2
+	Matrix Variate Distributions	2018	Arjun K. Gupta Daya K. Nagar	2
+ PDF Chat	On the Conditional Distribution of the Multivariate <i>t</i> Distribution	2016	Peng Ding	2
+	Statistics for High-Dimensional Data: Methods, Theory and Applications	2011	Peter Bhlmann Sara van de Geer	2
+ PDF Chat	Families of Minimax Estimators of the Mean of a Multivariate Normal Distribution	1976	Bradley Efron Carl N. Morris	2
+	Confidence-Region Tests	1964	J. Aitchison	2
+ PDF Chat	Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty	2020	David Bauder Taras Bodnar Nestor Parolya Wolfgang Schmid	1
+	Univariate Stable Distributions	2020	John P. Nolan	1
+ PDF Chat	Predictive Inference Based on Markov Chain Monte Carlo Output	2020	Fabian Krüger Sebastian Lerch Thordis L. Thorarinsdottir Tilmann Gneiting	1
+	Improved multivariate normal mean estimation with unknown covariance when $p$ is greater than $n$	2012	Didier Chételat Martin T. Wells	1
+	Metrics, Information Theory, Convergence, and Poisson Approximations	2008	Anirban Dasgupta	1
+	Recent advances in shrinkage-based high-dimensional inference	2021	Olha Bodnar Taras Bodnar Nestor Parolya	1
+	Multivariate Statistical Inference and Applications	1998	David E. Booth	1
+	Aspects of Multivariate Statistical Theory	1982	Robb J. Muirhead	1
+	The Distribution of Sample Mean-Variance Portfolio Weights	2023	Raymond Kan Nathan Lassance Xiaolu Wang	1
+	mvpd: Multivariate Product Distributions for Elliptically Contoured Distributions	2022	Bruce Swihart	1
+	Matrix Variate Distributions	2021		1
+	Handbook of mathematics	1985	I. N. Bronshteĭn	1
+	Multivariate T-Distributions and Their Applications	2004	Samuel Kotz Saralees Nadarajah	1
+	Multivariate elliptically contoured stable distributions: theory and estimation	2013	John P. Nolan	1
+ PDF Chat	Robust $M$-Estimators of Multivariate Location and Scatter	1976	Ricardo A. Maronna	1
+ PDF Chat	On the mean and variance of the generalized inverse of a singular Wishart matrix	2011	R. Dennis Cook Liliana Forzani	1
+ PDF Chat	A Distribution-Free $M$-Estimator of Multivariate Scatter	1987	David E. Tyler	1
+	Multivariate statistical inference and applications	1998	David E. Booth	1
+ PDF Chat	Regularized Tyler's Scatter Estimator: Existence, Uniqueness, and Algorithms	2014	Ying Sun Prabhu Babu Daniel P. Palomar	1
+	Estimation of the precision matrix of a multivariate elliptically contoured stable distribution	2010	Taras Bodnar Arjun K. Gupta	1
+ PDF Chat	A well-conditioned estimator for large-dimensional covariance matrices	2003	Olivier Ledoit Michael Wolf	1
+ PDF Chat	High dimensional covariance matrix estimation using a factor model	2008	Jianqing Fan Yingying Fan Jinchi Lv	1