Concepedia

Stepan Mazur

SM

Statistics

Publications

12

Citations

338

H-Index

12

Active since

2013

Affiliations

Stockholm University(Current)

Lund University

Örebro University

University of Augsburg

Humboldt-Universität zu Berlin

Stepan Mazur is an author at Stockholm University specializing in portfolio optimization, engineering, and probability theory.

Top concepts

Portfolio OptimizationFinanceManagementEngineeringProbabilityBusinessStatisticsAsset PricingStatistical InferencePortfolio Management

Publications per year

2013–2022

12

Publications

12

Bayesian estimation of the global minimum variance portfolio

Taras Bodnar, Stepan Mazur, Yarema Okhrin · European Journal of Operational Research · 2016 · 107 citations · Full text

Portfolio Optimization, Engineering, Uncertainty Quantification +5

Singular inverse Wishart distribution and its application to portfolio theory

Taras Bodnar, Stepan Mazur, Krzysztof Podgórski · Journal of Multivariate Analysis · 2015 · 50 citations

Portfolio Optimization, Asset Pricing, Business +7

Tangency portfolio weights for singular covariance matrix in small and large dimensions: Estimation and test theory

Taras Bodnar, Stepan Mazur, Krzysztof Podgórski et al. · Journal of Statistical Planning and Inference · 2018 · 23 citations

Portfolio Optimization, Management, Large Dimensions +10

Higher order moments of the estimated tangency portfolio weights

Farrukh Javed, Stepan Mazur, Edward Ngailo · Journal of Applied Statistics · 2020 · 21 citations · Full text

Vector autoregression models with skewness and heavy tails

Sune Karlsson, Stepan Mazur, Hoang Nguyen · Journal of Economic Dynamics and Control · 2022 · 21 citations · Full text

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