Profiles

Taras Bodnar

Taras Bodnar

Professor

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Arbetar vid Matematiska institutionen
Telefon 08-16 45 69
E-post taras.bodnar@math.su.se
Besöksadress Roslagsvägen 101, Kräftriket, hus 6
Rum 329
Postadress Matematiska institutionen 106 91 Stockholm

Forskning

Master thesis projects:

https://www.math.su.se/polopoly_fs/1.428956.1551460600!/menu/standard/file/Taras1903.pdf

 

SELECTED PUBLICATIONS

Book:

Elliptically Contoured Models in Statistics and Portfolio Theory (with A.K. Gupta and T. Varga). Springer Series in Statistics: Theory and Methods. Springer, New York, 2013.

 

Articles in Journals:

1.      Testing for Independence of Large Dimensional Vectors (with H. Dette and N. Parolya). To appear in The Annals of Statistics, 2019.

2.      Central Limit Theorems for Functionals of Large Sample Covariance Matrix and Mean Vector in Matrix-Variate Location Mixture of Normal Distributions (with S. Mazur and N. Parolya). To appear in Scandinavian Journal of Statistics, 2019.

3.      Bayesian Estimation of the Efficient Frontier (with D. Bauder, R. Bodnar and W. Schmid). To appear in Scandinavian Journal of Statistics, 2019.

4.      Tangency Portfolio Weights for Singular Covariance Matrix in Small and Large Dimensions: Estimation and Test Theory (with S. Mazur, K. Podgórski and J. Tyrcha). To appear in Journal of Statistical Planning and Inference, 2019.

5.      Optimal Shrinkage Estimator for High Dimensional Mean Vector (with O. Okhrin and N. Parolya). Journal of Multivariate Analysis, 170, 63-79, 2019.

6.      Multivariate Multiple Test Procedures Based on Nonparametric Copula Estimation (with T. Dickhaus, A. Neumann and D. Pfeifer). Biometrical Journal, 61, 40-61, 2019.

7.      Bayesian Inference for the Tangent Portfolio (with D. Bauder, S. Mazur and Y. Okhrin). International Journal of Theoretical and Applied Finance, 21, 2018.

8.      On the Product of a Singular Wishart Matrix and a Singular Gaussian Vector in High Dimension (with S. Mazur, S. Muhinyuza and N. Parolya). Theory of Probability and Mathematical Statistics, 99, 37-50, 2018.

9.      Determination and Estimation of the Risk Aversion Coefficient (with Y. Okhrin, V. Vitlinskyy and T. Zabolotskyy). Computational Management Science, 15, 297-317, 2018.

10.  Estimation of the Global Minimum Variance Portfolio in High Dimensions (with N. Parolya and W. Schmid). European Journal of Operational Research, 266, 371-390, 2018.

11.  A Test for the Global Minimum Variance Portfolio for Small Sample and Singular Covariance (with S. Mazur and K. Podgórski). Advances in Statistical Analysis (AStA), 101, 253-265, 2017.

12.  Bayesian Estimation of the Global Minimum Variance Portfolio (with S. Mazur and Y. Okhrin). European Journal of Operational Research, 256, 292-307, 2017.

13.  On the Simes Inequality in Elliptical Models (with T. Dickhaus). Annals of the Institute of Statistical Mathematics, 69, 215-230, 2017.

14.  How Risky is the Optimal Portfolio which Maximizes the Sharpe Ratio? (with T. Zabolotskyy). Advances in Statistical Analysis (AStA), 101, 1-28, 2017.

15.  Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications (with M. Reiß). Journal of Multivariate Analysis, 150, 125-151, 2016.

16.  Spectral Analysis of the Moore-Penrose Inverse of a Large Dimensional Sample Covariance Matrix (with H. Dette and N. Parolya). Journal of Multivariate Analysis, 148, 160-172, 2016.

17.  Direct Shrinkage Estimation of Large Dimensional Precision Matrix (with A.K. Gupta and N. Parolya). Journal of Multivariate Analysis, 146, 223-236, 2016.

18.  Dynamic Conditional Correlation Multiplicative Error Processes (with N. Hautsch). Journal of Empirical Finance, 36, 41-67, 2016.

19.  Singular Inverse Wishart Distribution with Application to Portfolio Theory (with S. Mazur and K. Podgórski). Journal of Multivariate Analysis, 143, 314-326, 2016.

20.  Multivariate Autoregressive Extreme Value Process and Its Application for Modeling the Time Series Properties of the Extreme Daily Asset Prices (with R. Bodnar and W. Schmid). Communications in Statistics – Theory and Methods, 45, 3421-3440, 2016.

21.  The Exact Solution of Multi-Period Portfolio Choice Problem with Exponential Utility (with N. Parolya and W. Schmid), in Operations Research Proceedings 2014, Lübbecke, M., Koster, A., Letmathe, P., Madlener, R., Peis, B., Walther, G. (eds.), Springer, 45-51, 2016.

22.  An Exact Solution of Multi-Period Portfolio Choice Problem with Exponential Utility under Return Predictability (with N. Parolya and W. Schmid). European Journal of Operational Research, 246, 528-542, 2015.

23.  Robustness of the Inference Procedures for the Global Minimum Variance Portfolio Weights in a Skew Normal Model (with A.K. Gupta). European Journal of Finance, 21, 1176-1194, 2015.

24.  A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function (with N. Parolya and W. Schmid). Annals of Operations Research, 229, 121-158, 2015.

25.  Uncertainty Quantification for the Family-Wise Error Rate in Multivariate Copula Models (with T. Dickhaus and J. Stange). Advances in Statistical Analysis (AStA), 99, 281-310, 2015.

26.  Distribution of the Product of Singular Wishart Matrix and Normal Vector (with S. Mazur and Y. Okhrin). Theory of Probability and Mathematical Statistics, 91, 1-14, 2014.

27.  On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix (with A.K. Gupta and N. Parolya). Journal of Multivariate Analysis, 132, 215-228, 2014.

28.  False Discovery Rate Control under Archimedean Copula (with T. Dickhaus). Electronic Journal of Statistics, 8, 2207-2241, 2014.

29.  Robust Surveillance of Covariance Matrices Using a Single Observation (with O.Bodnar and Y. Okhrin). Sankhyā A: The Indian Journal of Statistics,76, 219-256, 2014.

30.  Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix (with A.K. Gupta and N. Parolya), in Contributions in Infinite-Dimensional Statistics and Related Topics, Bongiorno, E.G., Goia, A., Salinelli, E., Vieu, P. (eds.), Società Editrice Esculapio, 55-60, 2014.

31.  An Exact Test about the Covariance Matrix (with A.K. Gupta). Journal of Multivariate Analysis, 125, 176-189, 2014.

32.   Multivariate Elliptically Contoured Autoregressive Process (with A.K. Gupta), Statistica, 73, 303-316, 2013.

33.  On the Exact and Approximate Distributions of the Product of a Wishart Matrix with a Normal Vector (with S. Mazur and Y. Okhrin), Journal of Multivariate Analysis, 122, 70-81, 2013.

34.  On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory (with N. Parolya and W. Schmid), European Journal of Operational Research, 229, 637-644, 2013.

35.  Asymptotic Behavior of the Estimated Weights and Characteristics of the Minimum VaR and the Minimum CVaR Optimal Portfolios for Dependent Data (with W. Schmid and T. Zabolotskyy). Metrika, 76, 1105-1134, 2013.

36.  An Exact Test for a Column of the Covariance Matrix based on a Single Observation (with A.K. Gupta). Metrika, 76, 847-855, 2013.

37.  Boundaries of the Risk Aversion Coefficient: Should We Invest in the Global Minimum Variance Portfolio? (with Y. Okhrin), Applied Mathematics and Computation, 219, 5440-5448, 2013.

38.  Maximization of the Sharpe Ratio of an Asset Portfolio in the Context of Risk Minimization (with T. Zabolotskyy). Economic Annals-XXI, 11-12 (1), 110-113, 2013.

39.  Minimum VaR and Minimum CVaR Optimal Portfolios: Estimators, Confidence Regions, and Tests (with W. Schmid and T. Zabolotskyy), Statistics & Risk Modeling, 29, 281-314, 2012.

40.  Portfolio Choice Problem with the Value-at-Risk Utility Function under General Linear Constraints (with V. Vitlinskyy and T. Zabolotskyy). Economic Cybernetics, 4-6 (76-78), 4-10, 2012.

41.  On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory (with Y. Okhrin), Scandinavian Journal of Statistics, 38, 311-331, 2011.

42.  On the Exact Distribution of the Estimated Expected Utility Portfolio Weights: Theory and Applications (with W. Schmid), Statistics & Risk Modeling, 28, 319-342, 2011.

43.  Estimation of the Precision Matrix of Multivariate Elliptically Contoured Stable Distribution (with A.K. Gupta), Statistics, 45, 131-142, 2011.

44.  Estimation and Inference of the Vector Autoregressive Process under Heteroscedasticity (with T. Zabolotskyy), Theory of Probability and Mathematical Statistics, 83, 22-38, 2010.

45.  On the Unbiased Estimator of the Efficient Frontier (with O. Bodnar), International Journal of Theoretical and Applied Finance, 13, 1065-1073, 2010.

46.  Estimation and Inference for Dependence in Multivariate Data (with O. Bodnar and A.K. Gupta), Journal of Multivariate Analysis, 101, 869-881, 2010.

47.  Sample Efficient Frontier in Multivariate Conditionally Heteroscedastic Elliptical Models (with T. Zabolotskyy), Statistics, 44, 1-15, 2010.

48.  Impact of the Skewness on the Performance of Optimal Portfolios (with A.K. Gupta), International Journal of Intelligent Technologies and Applied Statistics, 3, 107-113, 2010.

49.  Statistical Inference Procedure for the Mean-Variance Efficient Frontier with Estimated Parameters (with O. Bodnar), Advances in Statistical Analysis (AStA), 93, 295-306, 2009.

50.  Construction and Inferences of the Efficient Frontier in Elliptical Models (with A.K. Gupta), Journal of the Japan Statistical Society, 39, 193-207, 2009.

51.  Unbiased Estimator of the Expected Quadratic Utility Portfolio (with O. Bodnar), International Journal of Financial Economics and Econometrics, 1, 59-68, 2009.

52.  Surveillance of the Covariance Matrix based on the Properties of the Singular Wishart Distribution (with O. Bodnar and Y. Okhrin), Computational Statistics and Data Analysis, 53, 3372-3385, 2009.

53.  Statistical Inference of the Efficient Frontier for Dependent Asset Returns (with W. Schmid and T. Zabolotskyy), Statistical Papers, 50, 593-604, 2009.

54.  An Identity for Multivariate Elliptically Contoured Matrix Distribution (with A.K. Gupta), Statistics and Probability Letters, 79, 1327-1330, 2009.

55.  An Exact Test on Structural Changes in the Weights of the Global Minimum Variance Portfolio, Quantitative Finance, 9, 363-370, 2009.

56.  Econometrical Analysis of the Sample Efficient Frontier (with W. Schmid), European Journal of Finance, 15, 317-335, 2009.

57.  Estimation of Optimal Portfolio Compositions for Gaussian Returns (with W. Schmid), Statistics & Decisions, 26, 179-201, 2008.

58.  Properties of the Partitioned Singular, Inverse and Generalized Inverse Wishart Distribution (with Y. Okhrin), Journal of Multivariate Analysis, 99, 2389-2405, 2008.

59.  A Test for the Weights of the Global Minimum Variance Portfolio in an Elliptical Model (with W. Schmid), Metrika, 67, 127-143, 2008.

60.  Distributions of the Weights of Sample Optimal Portfolios in Multivariate Conditionally Heteroscedastic Elliptical Models (with T. Zabolotskyy), Journal of Money, Investment and Banking, 1, 5-23, 2008.

61.  The Distribution of the Sample Variance of the Global Minimum Variance Estimator in Elliptical Models (with W. Schmid), Statistics, 41, 65-75, 2007.

62.  Optimal Portfolio Selection in Alternative Models, Bulletin of the University in Kiev Series: Physics & Mathematics, I (2007), 109-113, 2007 (in Ukrainian).

63.  Optimal Investment Portfolio for Different Types of Asset Returns Distribution, Bulletin of the University in Lviv Series: Mechanics & Mathematics, 67, 5-13, 2007 (in Ukrainian).

64.  Matrix Elliptical Contoured Distributions versus Stable Models:  Application to Daily Stock Returns (with W. Schmid), in Asset Allocation and International Investments, G. N. Gregoriou (Ed.), Palgrave Mac, London, 214-227, 2007.

65.   Statistical properties of a two dimensional optimal portfolio, Matematychni Metody i Fizyko-Mekhanichni Polya, 49, 37-42, 2006  (in Ukrainian).

66.  On the Use of Vectors of Strategies' Distribution Functions for Finding the Optimal Decisions (with Y. Yelejko), Economic Cybernetics, 5-6 (17-18), 49-54, 2002 (in Ukrainian).

67.  Econometrical Analysis of the Family of the Vectors of the Average Risks (with V. Yelejko and Y. Yelejko), Bulletin of the Lviv Academy of Commerce Series: Economics, 12, 329-330, 2002 (in Ukrainian).

68.  On the Family of the Vectors of the Average Profits in the Transient Period, The Materials of International Scientific Student Conference EERC “Property Rights in the Transient Economics”, National University “Kyiv-Mohyla Academy”, 2001.

69.  Making Optimum Decision in the Transient Period (with O. Bodnar and Y. Yelejko), Formuvannya Rynkovoi Economiky v Ukraini, 507-514, 1999 (in Ukrainian).

Senast uppdaterad: 13 september 2019

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