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2021
Portfolio Selection with a Rank-deficient Covariance Matrix
Gulliksson, Mårten
;
Oleynik, Anna
;
Mazur, Stepan
2022
Matrix gamma distributions and related stochastic processes
Kozubowski, Tomasz J.
;
Mazur, Stepan
;
Podgórski, Krzysztof
2019
An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
Gulliksson, Mårten
;
Mazur, Stepan
2021
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
2018
Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
Bodnar, Taras
;
Mazur, Stepan
;
Podgórski, Krzysztof
;
Tyrcha, Joanna
2022
Matrix variate generalized laplace distributions
Kozubowski, Tomasz J.
;
Mazur, Stepan
;
Podgorski, Krysztof
2018
Bayesian inference for the tangent portfolio
Bauder, David
;
Bodnar, Taras
;
Mazur, Stepan
;
Okhrin, Yarema
2020
Statistical Inference for the Tangency Portfolio in High Dimension
Karlsson, Sune
;
Mazur, Stepan
;
Muhinyuza, Stanislas
2022
Estimation of optimal portfolio compositions for small sample and singular covariance matrix
Bodnar, Taras
;
Mazur, Stepan
;
Nguyen, Hoang
2019
Linear Fractional Stable Motion with the RLFSM R Package
Mazur, Stepan
;
Otryakhin, Dmitry
Author
6
Bodnar, Taras
5
Nguyen, Hoang
4
Javed, Farrukh
3
Gulliksson, Mårten
3
Karlsson, Sune
3
Kiss, Tamás
3
Muhinyuza, Stanislas
3
Parolya, Nestor
2
Kozubowski, Tomasz J.
2
Loperfido, Nicola
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