Concepedia

Yarema Okhrin

YO

30

Publications

1.3K

Citations

19

H-Index

2005

Active since

Affiliations

University of Augsburg(Current)

European University Viadrina

Humboldt-Universität zu Berlin

Stockholm University

University of Bern

Yarema Okhrin is an author at University of Augsburg specializing in engineering, finance, and statistics.

Top concepts

EngineeringFinanceStatisticsBusinessStatistical InferenceManagementPortfolio OptimizationAsset PricingProbabilityPortfolio Selection

Publications per year

2005–2023

30

Publications

30

Distributional properties of portfolio weights

Yarema Okhrin, Wolfgang Schmid · Journal of Econometrics · 2005 · 221 citations · Full text

Spectral Theory, Portfolio Optimization, Engineering +6

On the structure and estimation of hierarchical Archimedean copulas

Ostap Okhrin, Yarema Okhrin, Wolfgang Schmid · Journal of Econometrics · 2012 · 169 citations · Full text

Density Estimation, Hierarchical Archimedean Copulas, Statistical Inference +3

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

Tail event driven networks of SIFIs

Cathy Yi‐Hsuan Chen, Wolfgang Karl Härdle, Yarema Okhrin · Journal of Econometrics · 2018 · 82 citations · Full text

Network Science, Machine Learning, Data Science +8

Multivariate Shrinkage for Optimal Portfolio Weights

Vasyl Golosnoy, Yarema Okhrin · European Journal of Finance · 2007 · 79 citations

Mathematical Programming, Asset Allocation, Portfolio Management +17

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