Taras Bodnar

33 papers Journal 32Unranked 1
YearRankTypeTitle / Venue / Authors
2026 J jnl
Bayesian multivariate meta-analysis by using the Birge ratio method.
J. Multivar. Anal.
Olha Bodnar, Taras Bodnar
2025 J jnl
Birge ratio method for modeling dark uncertainty in multivariate meta-analyses and inter-laboratory studies.
J. Multivar. Anal.
Olha Bodnar, Taras Bodnar
2024 J jnl
Copula modeling from Abe Sklar to the present day.
J. Multivar. Anal.
Christian Genest, Ostap Okhrin, Taras Bodnar
2024 J jnl
Gibbs sampler approach for objective Bayesian inference in elliptical multivariate meta-analysis random effects model.
Comput. Stat. Data Anal.
Olha Bodnar, Taras Bodnar
2024 J jnl
Preface to the Special Issue "Copula modeling from Abe Sklar to the present day".
J. Multivar. Anal.
Christian Genest, Ostap Okhrin, Taras Bodnar
2024 J jnl
Two is Better Than One: Regularized Shrinkage of Large Minimum Variance Portfolios.
J. Mach. Learn. Res.
Taras Bodnar, Nestor Parolya, Erik Thorsén
2023 J jnl
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio.
IEEE Trans. Signal Process.
Taras Bodnar, Nestor Parolya, Erik Thorsén
2023 J jnl
Multi-period power utility optimization under stock return predictability.
Comput. Manag. Sci.
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, Wolfgang Schmid
2022 J jnl
Bayesian portfolio selection using VaR and CVaR.
Appl. Math. Comput.
Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson, Erik Thorsén
2022 J jnl
Recent advances in shrinkage-based high-dimensional inference.
J. Multivar. Anal.
Olha Bodnar, Taras Bodnar, Nestor Parolya
2021 J jnl
Quantile-based optimal portfolio selection.
Comput. Manag. Sci.
Taras Bodnar, Mathias Lindholm, Erik Thorsén, Joanna Tyrcha
2021 J jnl
Statistical Inference for the Expected Utility Portfolio in High Dimensions.
IEEE Trans. Signal Process.
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya, Wolfgang Schmid
2020 J jnl
A test on the location of the tangency portfolio on the set of feasible portfolios.
Appl. Math. Comput.
Stanislas Muhinyuza, Taras Bodnar, Mathias Lindholm
2020 J jnl
Bayesian inference of the multi-period optimal portfolio for an exponential utility.
J. Multivar. Anal.
David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2019 J jnl
Optimal shrinkage estimator for high-dimensional mean vector.
J. Multivar. Anal.
Taras Bodnar, Ostap Okhrin, Nestor Parolya
2019 J jnl
Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting.
IEEE Trans. Signal Process.
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya, Wolfgang Schmid
2018 J jnl
Determination and estimation of risk aversion coefficients.
Comput. Manag. Sci.
Taras Bodnar, Yarema Okhrin, Valdemar Vitlinskyy, Taras Zabolotskyy
2018 J jnl
Estimation of the global minimum variance portfolio in high dimensions.
Eur. J. Oper. Res.
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2017 J jnl
Bayesian estimation of the global minimum variance portfolio.
Eur. J. Oper. Res.
Taras Bodnar, Stepan Mazur, Yarema Okhrin
2016 J jnl
Direct shrinkage estimation of large dimensional precision matrix.
J. Multivar. Anal.
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
2016 J jnl
Exact and asymptotic tests on a factor model in low and large dimensions with applications.
J. Multivar. Anal.
Taras Bodnar, Markus Reiß
2016 J jnl
Singular inverse Wishart distribution and its application to portfolio theory.
J. Multivar. Anal.
Taras Bodnar, Stepan Mazur, Krzysztof Podgórski
2016 J jnl
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix.
J. Multivar. Anal.
Taras Bodnar, Holger Dette, Nestor Parolya
2015 J jnl
A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function.
Ann. Oper. Res.
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2015 J jnl
On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability.
Eur. J. Oper. Res.
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2014 J jnl
An exact test about the covariance matrix.
J. Multivar. Anal.
Arjun K. Gupta, Taras Bodnar
2014 J jnl
On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix.
J. Multivar. Anal.
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
2014 — conf
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility.
OR
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2013 J jnl
Boundaries of the risk aversion coefficient: Should we invest in the global minimum variance portfolio?
Appl. Math. Comput.
Taras Bodnar, Yarema Okhrin
2013 J jnl
On the equivalence of quadratic optimization problems commonly used in portfolio theory.
Eur. J. Oper. Res.
Taras Bodnar, Nestor Parolya, Wolfgang Schmid
2013 J jnl
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector.
J. Multivar. Anal.
Taras Bodnar, Stepan Mazur, Yarema Okhrin
2010 J jnl
Estimation and inference for dependence in multivariate data.
J. Multivar. Anal.
Olha Bodnar, Taras Bodnar, Arjun K. Gupta
2009 J jnl
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution.
Comput. Stat. Data Anal.
Olha Bodnar, Taras Bodnar, Yarema Okhrin