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Taras Bodnar

Stockholm University

SCHOLARLY PAPERS

2

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97

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Scholarly Papers (2)

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1.

Constructing Bayesian Tangency Portfolios Under Short-Selling Restrictions

Number of pages: 11 Posted: 02 Nov 2023
Vilhelm Niklasson, Olha Bodnar and Taras Bodnar
Stockholm University, Örebro University and Stockholm University
Downloads 60 (970,490)

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Bayesian inference, tangency portfolio, parameter uncertainty

2.

Is the Empirical Out-of-Sample Variance an Informative Risk Measure for the High-Dimensional Portfolios?

Number of pages: 13 Posted: 15 Feb 2023
Taras Bodnar, Nestor Parolya and Erik Thorsen
Stockholm University, Delft University of Technology and affiliation not provided to SSRN
Downloads 37 (1,236,159)

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Shrinkage estimator, high-dimensional covariance matrix, Random matrix theory, minimum variance portfolio, parameter uncertainty