Selected Publications

 

Book:

 

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

 

 

Articles in Journals:

 

  1. Robust Control Charts for the Covariance Matrix Based on a Single Observation (with O. Bodnar and Y. Okhrin). To appear in Sankhya A: The Indian Journal of Statistics, 2014.
  2. Multivariate Elliptically Contoured Autoregressive Process (with A.K. Gupta). To appear in Statistica, 2014.
  3. 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). To appear in Communications in Statistics – Theory and Methods, 2014.
  4. Robustness of the Inference Procedures for the Global Minimum Variance Portfolio Weights in a Skew Normal Model, (with A.K. Gupta). To appear in European Journal of Finance, 2014.
  5. An Exact Test about the Covariance Matrix (with A.K. Gupta). Journal of Multivariate Analysis, 125, 176-189, 2014.
  6. On Exact and Approximate Distributions of the Product of the Wishart Matrix and Normal Vector (with S. Mazur and Y. Okhrin). Journal of Multivariate Analysis, 122, 70-81, 2013.
  7. 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.
  8. An Exact Test for a Column of the Covariance Matrix based on a Single Observation, (with A.K. Gupta). Metrika, 76, 847–855, 2013.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. On the Exact Distribution of the Estimated Expected Utility Portfolio Weights: Theory and Applications, (with W. Schmid), Statistics & Risk Modeling, 28, 319-342, 2011.
  16. Estimation of the Precision Matrix of Multivariate Elliptically Contoured Stable Distribution, (with A.K. Gupta), Statistics, 45, 131-142, 2011.
  17. Estimation and Inference of the Vector Autoregressive Process under Heteroscedasticity, (with T. Zabolotskyy), Theory of Probability and Mathematical Statistics, 83, 22-38, 2010.
  18. On the Unbiased Estimator of the Efficient Frontier, (with O. Bodnar), International Journal of Theoretical and Applied Finance, 13, 1065-1073, 2010.
  19. Estimation and Inference for Dependence in Multivariate Data, (with O. Bodnar and A.K. Gupta), Journal of Multivariate Analysis, 101, 869-881, 2010.
  20. Sample Efficient Frontier in Multivariate Conditionally Heteroscedastic Elliptical Models (with T. Zabolotskyy), Statistics, 44, 1-15, 2010.
  21. 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.
  22. Statistical Inference Procedure for the Mean-Variance Efficient Frontier with Estimated Parameters (with O. Bodnar), Advances in Statistical Analysis (AStA), 93, 295-306, 2009.
  23. Construction and Inferences of the Efficient Frontier in Elliptical Models, (with A.K. Gupta), Journal of the Japan Statistical Society, 39, 193-207, 2009.
  24. Unbiased Estimator of the Expected Quadratic Utility Portfolio (with O. Bodnar), International Journal of Financial Economics and Econometrics, 1, 59-68, 2009.
  25. 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.
  26. Statistical Inference of the Efficient Frontier under Autocorrelated Asset Returns (with W. Schmid and T. Zabolotskyy), Statistical Papers, 50, 593-604, 2009.
  27. An Identity for Multivariate Elliptically Contoured Matrix Distribution (with A.K. Gupta), Statistics and Probability Letters, 79, 1327-1330, 2009.
  28. An Exact Test on Structural Changes in the Weights of the Global Minimum Variance Portfolio, Quantitative Finance, 9, 363-370, 2009.
  29. Econometrical Analysis of the Sample Efficient Frontier (with W. Schmid), European Journal of Finance, 15, 317-335, 2009.
  30. Estimation of Optimal Portfolio Compositions for Gaussian Returns (with W. Schmid), Statistics & Decisions, 26, 179-201, 2008.
  31. Properties of the Partitioned Singular, Inverse and Generalized Inverse Wishart Distribution (with Y. Okhrin), Journal of Multivariate Analysis, 99, 2389-2405, 2008.
  32. A Test for the Weights of the Global Minimum Variance Portfolio in an Elliptical Model (with W. Schmid), Metrika, 67, 127-143, 2008.
  33. 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.
  34. The Distribution of the Sample Variance of the Global Minimum Variance Estimator in Elliptical Models (with W. Schmid), Statistics, 41, 65-75, 2007.
  35. Optimal Portfolio Selection in Alternative Models, Bulletin of the University in Kiev Series: Physics & Mathematics, I(2007), 109-113, 2007 (in Ukrainian).
  36. 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).
  37. 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.
  38. Statistical properties of a two dimensional optimal portfolio, Matematychni Metody i Fizyko-Mekhanichni Polya, 49, 37-42, 2006  (in Ukrainian).
  39. 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).
  40. 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).
  41. 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.
  42. Making Optimum Decision in the Transient Period (with O. Bodnar and Y. Yelejko), Formuvannya Rynkovoi Economiky v Ukraini, 507-514, 1999 (in Ukrainian)

 

Submitted Papers:

 

  1. Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes (with N. Hautsch), under revision in Journal of Empirical Finance.
  2. On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix (with A.K. Gupta and N. Parolya), under revision in Journal of Multivariate Analysis.
  3. Distribution of the Product of Singular Wishart Matrix and Normal Vector (with S. Mazur and Y. Okhrin), under revision in Theory of Probability and Mathematical Statistics.
  4. Uncertainty quantification for the family-wise error rate in multivariate copula models (with T. Dickhaus and J. Stange).
  5. Multi-Period Portfolio Choice Problem for a Quadratic Utility Function: A Closed-Form Solution of the Portfolio Weights (with N. Parolya and W. Schmid).
  6. Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix (with A.K. Gupta and N. Parolya).
  7. Bayesian Estimation of the Global Minimum Variance Portfolio (with S. Mazur and Y. Okhrin).
  8. Estimation of the Global Minimum Variance Portfolio in High Dimensions (with N. Parolya and W. Schmid).
  9. An Exact Solution of Multi-Period Portfolio Choice Problem with Exponential Utility under Return Predictability (with N. Parolya and W. Schmid).
  10. False Discovery Rate Control under Archimedean Copula (with T. Dickhaus).

 

 

Manuscripts in Preparation:

 

  1. EWMA Control Chart for Detecting Unit Root (with W. Schmid and A. Steland).
  2. Consistent Estimation of the Efficient Frontier in High Dimensions (with N. Parolya and N. Hautsch).
  3. Optimal Portfolio Selection under Stable Distributed Returns: Theory and Application.
  4. Optimal Shrinkage Estimator for High Dimensional Mean Vector (with O. Okhrin and N. Parolya).
  5. Determination and Estimation of the Risk Aversion Coefficient (with Y. Okhrin and T. Zabolotskyy).