Research output per year
Research output per year
Personal profile
Research interests
Large random matrices and high-dimensional statistics
Mathematical and statistical finance
Financial engineering and operations research
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Research output
- 25 Article
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, T., Parolya, N. & Thorsén, E., 2023, (Accepted/In press) In: Finance Research Letters. 12 p.Research output: Contribution to journal › Article › Scientific › peer-review
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Logarithmic law of large random correlation matrices
Parolya, N., Heiny, J. & Kurowicka, D., 2023, (Accepted/In press) In: Bernoulli. 25 p.Research output: Contribution to journal › Article › Scientific › peer-review
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Log determinant of large correlation matrices under infinite fourth moment
Heiny, J. & Parolya, N., 2023, (Accepted/In press) In: Annales de l'Institut Henri Poincar. (B) Probabilites et Statistiques. 28 p.Research output: Contribution to journal › Article › Scientific › peer-review
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Multi-period power utility optimization under stock return predictability
Bodnar, T., Ivasiuk, D., Parolya, N. & Schmid, W., 2023, In: Computational Management Science. 20, 1, 27 p., 4.Research output: Contribution to journal › Article › Scientific › peer-review
Open AccessFile4 Downloads (Pure) -
Recent advances in shrinkage-based high-dimensional inference
Bodnar, O., Bodnar, T. & Parolya, N., 2022, In: Journal of Multivariate Analysis. 188, 13 p., 104826.Research output: Contribution to journal › Article › Scientific › peer-review
Open AccessFile4 Citations (Scopus)9 Downloads (Pure)