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

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.

Multivariate Elliptically
Contoured Autoregressive Process (with A.K. Gupta). To appear
in Statistica, 2014.
 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.
 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.

An Exact Test
about the Covariance Matrix (with A.K. Gupta).
Journal of Multivariate
Analysis, 125, 176189,
2014.

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, 7081,
2013.
 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,
11051134, 2013.
 An Exact Test for a Column of
the Covariance Matrix based on a Single Observation, (with A.K.
Gupta). Metrika, 76, 847–855, 2013.
 On the Equivalence of Quadratic Optimization Problems
Commonly Used in Portfolio Theory (with N. Parolya and W.
Schmid). European
Journal of Operational Research, 229, 637644, 2013.
 Boundaries of the Risk Aversion
Coefficient: Should We Invest in the Global Minimum Variance
Portfolio (with Y. Okhrin), Applied Mathematics and
Computation, 219, 54405448, 2013.
 Maximization of the Sharpe Ratio
of an Asset Portfolio in the Context of Risk Minimization (with
T. Zabolotskyy). Economic AnnalsXXI, 1112
(1), 110113, 2013.
 Minimum VaR and Minimum CVaR
Optimal Portfolios: Estimators, Confidence Regions, and Tests,
(with W. Schmid and T. Zabolotskyy), Statistics & Risk
Modeling, 29, 281314, 2012.
 Portfolio Choice Problem with
the ValueatRisk Utility Function under General Linear
Constraints, (with V. Vitlinskyy and T. Zabolotskyy). Economic
Cybernetics, 46 (7678), 410, 2012.
 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, 311331,
2011.
 On the Exact Distribution of the
Estimated Expected Utility Portfolio Weights: Theory and
Applications, (with W. Schmid), Statistics & Risk
Modeling, 28, 319342, 2011.
 Estimation of the Precision
Matrix of Multivariate Elliptically Contoured Stable
Distribution, (with A.K. Gupta), Statistics, 45,
131142, 2011.
 Estimation and Inference of the
Vector Autoregressive Process under Heteroscedasticity, (with T.
Zabolotskyy), Theory of Probability and Mathematical
Statistics, 83, 2238, 2010.
 On the Unbiased Estimator of the
Efficient Frontier, (with O. Bodnar), International Journal
of Theoretical and Applied Finance, 13,
10651073, 2010.
 Estimation and Inference for
Dependence in Multivariate Data, (with O. Bodnar and A.K.
Gupta), Journal of Multivariate Analysis, 101,
869881, 2010.
 Sample Efficient Frontier in
Multivariate Conditionally Heteroscedastic Elliptical Models
(with T. Zabolotskyy), Statistics, 44,
115, 2010.
 Impact of the Skewness on the
Performance of Optimal Portfolios (with A.K. Gupta), International
Journal of Intelligent Technologies and Applied Statistics,
3, 107113, 2010.
 Statistical Inference Procedure
for the MeanVariance Efficient Frontier with Estimated
Parameters (with O. Bodnar), Advances in Statistical
Analysis (AStA), 93, 295306, 2009.
 Construction and Inferences of
the Efficient Frontier in Elliptical Models, (with A.K. Gupta),
Journal of the Japan Statistical Society, 39,
193207, 2009.
 Unbiased Estimator of the
Expected Quadratic Utility Portfolio (with O. Bodnar), International
Journal of Financial Economics and Econometrics, 1,
5968, 2009.
 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,
33723385, 2009.
 Statistical Inference of the
Efficient Frontier under Autocorrelated Asset Returns (with W.
Schmid and T. Zabolotskyy), Statistical Papers, 50,
593604, 2009.
 An Identity for Multivariate
Elliptically Contoured Matrix Distribution (with A.K. Gupta), Statistics
and Probability Letters, 79, 13271330,
2009.
 An Exact Test on Structural
Changes in the Weights of the Global Minimum Variance Portfolio,
Quantitative Finance, 9, 363370,
2009.
 Econometrical Analysis of the
Sample Efficient Frontier (with W. Schmid), European
Journal of Finance, 15, 317335, 2009.
 Estimation of Optimal Portfolio
Compositions for Gaussian Returns (with W. Schmid), Statistics
& Decisions, 26, 179201, 2008.
 Properties of the Partitioned
Singular, Inverse and Generalized Inverse Wishart Distribution
(with Y. Okhrin), Journal of Multivariate Analysis, 99,
23892405, 2008.
 A Test for the Weights of the
Global Minimum Variance Portfolio in an Elliptical Model (with
W. Schmid), Metrika, 67, 127143,
2008.
 Distributions of the Weights of
Sample Optimal Portfolios in Multivariate Conditionally
Heteroscedastic Elliptical Models (with T. Zabolotskyy), Journal
of Money, Investment and Banking, 1,
523, 2008.
 The Distribution of the Sample
Variance of the Global Minimum Variance Estimator in Elliptical
Models (with W. Schmid), Statistics, 41,
6575, 2007.
 Optimal Portfolio Selection in
Alternative Models, Bulletin of the University in Kiev
Series: Physics & Mathematics, I(2007),
109113, 2007 (in Ukrainian).
 Optimal Investment Portfolio for
Different Types of Asset Returns Distribution, Bulletin of
the University in Lviv Series: Mechanics & Mathematics,
67, 513, 2007 (in Ukrainian).
 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, 214227, 2007.
 Statistical properties of a two
dimensional optimal portfolio, Matematychni Metody i
FizykoMekhanichni Polya, 49, 3742,
2006 (in Ukrainian).
 On the Use of Vectors of
Strategies' Distribution Functions for Finding the Optimal
Decisions (with Y. Yelejko), Economic Cybernetics,
56 (1718), 4954, 2002 (in Ukrainian).
 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, 329330, 2002
(in Ukrainian).

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 “KyivMohyla Academy”, 2001.

Making Optimum Decision in the Transient Period (with O.
Bodnar and Y. Yelejko), Formuvannya Rynkovoi Economiky
v Ukraini, 507514, 1999 (in Ukrainian)
 CopulaBased Dynamic Conditional
Correlation Multiplicative Error Processes (with N. Hautsch),
under revision in Journal of Empirical Finance.

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.

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.

Uncertainty quantification
for the familywise error rate in multivariate copula models
(with T. Dickhaus and J. Stange).

MultiPeriod Portfolio Choice
Problem for a Quadratic Utility Function: A ClosedForm
Solution of the Portfolio Weights (with N. Parolya and W.
Schmid).

Optimal Linear Shrinkage Estimator for Large
Dimensional Precision Matrix (with A.K. Gupta and N. Parolya).

Bayesian Estimation of the Global Minimum Variance
Portfolio (with S. Mazur and Y. Okhrin).

Estimation of the Global Minimum Variance Portfolio
in High Dimensions (with N. Parolya and W. Schmid).

An Exact Solution of MultiPeriod Portfolio Choice
Problem with Exponential Utility under Return Predictability
(with N. Parolya and W. Schmid).

False Discovery Rate Control under Archimedean
Copula (with T. Dickhaus).