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ausgewählte Publikationen

  • Surveillance of the Covariance Matrix based on the Properties of the Singular Wishart Distribution, under revision in Computational Statistics and Data Analysis, 2008 (with O. Bodnar and Y. Okhrin).

  • An Identity for Multivariate Elliptically Contoured Matrix Distribution, under revision in Statistics and Probability Letters, 2008 (with A. K. Gupta).

  • Sample Efficient Frontier in Multivariate Conditionally Heteroscedastic Elliptical Models, under revision in Statistics, 2008 (with T. Zabolotskyy).

  • Estimation of Optimal Portfolio Compositions for Gaussian Returns, to appear in Statistics & Decisions, 2008 (with W. Schmid).

  • An Exact Test on Structural Changes in the Weights of the Global Minimum Variance Portfolio, to appear in Quantitative Finance, 2008.

  • Econometrical Analysis of the Sample Efficient Frontier, to appear in European Journal of Finance, 2008 (with W. Schmid).

  • Statistical Inference of the Efficient Frontier for Dependent Asset Returns, to appear in Statistical Papers, 2008 (with W. Schmid and T. Zabolotskyy).

  • Unbiased Estimator of the Expected Quadratic Utility Portfolio, to appear in International Journal of Financial Economics and Econometrics, 2008 (with O. Bodnar).

  • Properties of the Partitioned Singular, INverse and Generalized Inverse Wishart Distribution, Journal of Multivariate Analysis, 99, 2389 - 2405, 2008 (with Y. Okhrin).

  • A Test for the Weights of the Global Minimum Variance Portfolio in an Elliptical Model, Metrika, 67, 127 - 143, 2008 (with W.Schmid).

  • Distributions of the Weights of Sample Optimal Portfolios in Multivariate Conditionally Heteroscedastic Elliptical Models, Journal of Money, Investment and Banking, 1, 5 - 23, 2008 (with T. Zabolotskyy).

  • The Distribution of the Sample Variance of the Global Minimum Variance Portfolio in Elliptical Models, Statistics, 41, 65 - 75, 2007 (with W.Schmid).

  • Optimal Portfolio Selection in Alternative Models, Bulletin of the University in Kiev Series: Physics & Mathematics, I, 109 - 113, 2007 (in Ukrainian).

  • 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).

  • Matrix Elliptical Contoured Distributions versus Stable Models: Application to Daily Stock Returns, to appear in Asset Allocation and International Investments, ed. G.N. Gregoriou, Palgrave, London, 2006 (with W.Schmid).

  • Statistical properties of a two dimensional optimal portfolio. Matematychni Metody i Fizyko-Mekhanichni Polya, 49, 37 - 42, 2006 (in Ukrainian).

  • On the Use of Vectors of Strategies' Distribution Functions for Finding the Optimal Decisions, Ekonomichna Kibernetyka 5-6, 49 - 56 (in Ukrainian), 2002 (with Ya. Yelejko).

  • Econometrical Analysis of the Family of the Vectors of the Average Risks, Bulletin of the Lviv Academy of Commerce Series: Economics, 12, 329 - 330, 2002 (in Ukrainian with V. Yelejko and Ya. Yelejko).

  • 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.

  • Making Optimum Decision in the Transient Period, Formuvannya rynkovoi economiky v Ukraini, 5, 507 - 514 (in Ukrainian), 1999 (with O. Bodnar, and Y. I. Yelejko).