Nestor Parolya

Nestor Parolya

Assistant professor

Delft University of Technology
Institute of Applied Mathematics
Mekelweg 4
2628 CD Delft

Phone: 015-2782515
Office: 36.HB 06.300
Email: n.parolya@tudelft.nl

My research focuses on advancing high-dimensional statistics, utilizing random matrix theory to develop robust methods for finance, operations research, and statistical learning. I see my role as developing theoretical advancements and bridging them with real-world applications, i.e., translating abstract mathematical concepts into practical tools that enhance decision-making in complex, high-dimensional environments.

My academic journey began with a strong mathematical foundation at Ivan Franko National University in Lviv (Ukraine), followed by a PhD (summa cum laude) at European University Viadrina in Germany, where I specialized in statistical and mathematical finance. Over the years, I have held academic positions at leading institutions, including Ruhr University Bochum, Leibniz University Hannover, Heidelberg and Mannheim Universities, and, ultimately, TU Delft.

Currently, I am exploring the intersection of random matrix theory and machine learning, positioning my work within the broader field of statistical machine learning. By applying random matrix theory to machine learning, I am contributing novel insights and methodologies that enhance our understanding and capabilities in this rapidly evolving discipline.

Research interests

• Large random matrices and high-dimensional statistics
• Mathematical and statistical finance
• Financial engineering and operations research
• Statistical machine learning in high dimensions

Short CV

Dec. 2022 - now Assistant Professor in Statistics (Universitair Docent 1), Delft University of Technology, The Netherlands
2019 - 2022 Assistant Professor in Statistics (Universitair Docent 2), Delft University of Technology, The Netherlands
2017 - 2018 Visiting Professor in Econometrics and Statistics, Heidelberg and Mannheim Universities, resp., Germany
2014 - 2019 Assistant Professor in Financial Econometrics, Leibniz University Hannover, Germany
2013 - 2014 PostDoc, Department in Statistics and Econometrics, Ruhr University Bochum, Germany
2010 - 2013 PhD in Economics with major in Statistics, Viadrina University, Germany
2005 - 2010 BSc. in Mathematics and MSc. in Statistics, University of Lviv, Ukraine

Organizational activities

since 2022 Coordinator of Minor Finance at TU Delft

since Nov 2024 Member of Curriculum Committee at Delft Institute of Applied Mathematics (DIAM)

2022 - 2024 Internship-coordinator for MSc. Applied Mathematics, Specialisation: Financial Engineering at TU Delft

2020 - 2022 Co-organizer of Probability and Statistics seminar at TU Delft

Editorial work

since May 2023 Associate Editor of Statistica Neerlandica

Former and actual PhD students (supervision and co-supervision)

Naqi Huang (TU Delft), thesis "Statistical Integer Linear Programming in High Dimensions", defence date approx. 2027
Dr. Erik Thorsén (Stockholm University, Sweden), award winning PhD-Thesis Cramér prize 2023, "Optimal portfolios in the high-dimensional setting:
Estimation and assessment of uncertainty", defence date 06.2022
Dr. Dmytro Ivasiuk (University of Viadrina, Germany), thesis "New Results on Optimal Portfolio Selection for the Power Utility Function",
defence date 23.02.2022
Dr. Solomiia Dmytriv (University of Viadrina, Germany), thesis "Statistical Theory of High-Dimensional Portfolios", defence date 23.07.2020

Honours and Awards

03/2024 Grant from NWO funding workshop "Stochastic Models, Statistics and Their Applications (SMSA 2024)" together with Dr. Fabian Mies at TU Delft
01/03/2021 1 PhD position from Van Rijn funding project "Statistical integer linear programming in high dimensions" together with Dr. Theresia van Essen at TU Delft
10/09/2019 received an award Wolfgang-Wetzel-Preis during statistical conference Statistical Week 2019 in Trier, Germany.

R packages

13/09/2021 "DOSPortfolio: Dynamic Optimal Shrinkage Portfolio" published online by CRAN .
02/08/2021 "HDShOP: High-Dimensional Shrinkage Optimal Portfolios" published online by CRAN .

Preprints

"Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications". Joint work with Taras Bodnar (Stockholm University). arxiv.org .
"Linear shrinkage method for optimization in high dimensions". Joint work with Naqi Huang (TU Delft) and Theresia van Essen (TU Delft). arxiv.org .
"Development and validation of a scoring system based on random forest for predicting antibiotic exposure in critically ill patients". Joint work with R. Gangapersad (Erasmus MC) and A. Abdulla (Erasmus MC).

Publications

@article{BHOP2025,
  author  = {Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin and Nestor Parolya},
  title   = {Consistent estimation of the high-dimensional efficient frontier},
  journal = {The European Journal of Finance},
  year    = {2025},
 volume={appears},
 number={},
pages={},
note="\url{https://doi.org/10.1080/1351847X.2025.2505043}"
}

@article{BDOOP2025,
  author  = {Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Dmitry Otryakhin and Nestor Parolya},
  title   = {High-Dimensional portfolio selection with HDShOP package},
  journal = {The European Journal of Finance},
  year    = {2025},
 volume={appears},
 number={},
pages={},
note="\url{https://doi.org/10.1080/1351847X.2025.2501637}"
}

@article{BPVSN2025,
  author  = {Taras Bodnar, Nestor Parolya and Frederik Veldman},
  title   = {Nonlinear shrinkage test on a large-dimensional covariance matrix},
  journal = {Statistica Neerlandica},
  year    = {2025},
 volume={79},
 number={1},
pages={},
note="\url{https://doi.org/10.1111/stan.12348}"
}

@incollection{BPV2024Schmid,
author="Bodnar, Taras and Parolya, Nestor and Veldman, Frederik",
editor="Knoth, Sven and Okhrin, Yarema and Otto, Philipp",
title="Linear shrinkage-based hypothesis test for large-dimensional covariance matrix",
booktitle="Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science: Essays in Honour of Wolfgang Schmid",
year="2024",
publisher="In: S. Knoth et al. (eds) Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science: Essays in Honour of Wolfgang Schmid. Springer, Cham",
pages="239-257",
note="https://doi.org/10.1007/978-3-031-69111-9_12"
}

@article{BPTJMLR2024,
  author  = {Taras Bodnar and Nestor Parolya and Erik Thorsén},
  title   = {Two is better than one: regularized shrinkage of large minimum variance portfolios},
  journal = {Journal of Machine Learning Research},
  year    = {2024},
  volume  = {25},
  number  = {173},
  pages   = {1-32},
note="\url{https://jmlr.org/papers/v25/22-1337.html}"
}

@article{HP2023AIHP,
author = {Johannes Heiny and Nestor Parolya},
title = {Log determinant of large correlation matrices under infinite fourth moment},
journal = {Annales de l'Institut Henri Poincaré - Probabilités et Statistiques},
year  = {2024},
  volume  = {60},
  number  = {2},
  pages   = {1048-1076},
note="\url{https://doi.org/10.1214/23-AIHP1368}"
}

@article{PHK2023BER,
author = {Nestor Parolya and Johannes Heiny and Dorota Kurowicka},
title = {Logarithmic law of large random correlation matrices},
journal = {Bernoulli},
volume = {30},
number = {1},
pages = {346-370},
year  = {2024},
note="\url{https://doi.org/10.3150/23-BEJ1600}"
}

@article{BPTIEEE2023,
author = {Taras Bodnar, Nestor Parolya and Erik Thorsén},
title = {Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio},
journal = {IEEE - Transactions of Signal Processing},
volume = {71},
number = {},
pages = {1334-1349},
year  = {2023},
note="\url{https://doi.org/10.1109/TSP.2023.3263950}"
}

@article{BPTFRL2023,
author = {Taras Bodnar, Nestor Parolya and Erik Thorsén},
title = {Is the empirical out-of-sample variance an informative risk measure for
the high-dimensional portfolios?},
journal = {Finance Research Letters},
volume = {54},
number = {},
pages = {103807},
year  = {2023},
note="\url{https://doi.org/10.1016/j.frl.2023.103807}"
}

@article{BIPS2023CMSC,
author = {Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya and Wolfgang Schmid},
title = {Multi-period power utility optimization under stock return predictability},
journal = {Computational Management Science},
volume = {20},
number = {4},
year  = {2023},
note="\url{https://link.springer.com/article/10.1007/s10287-023-00434-6}"
}

@article{BOP2023JBES,
author = {Taras Bodnar and Yarema Okhrin and Nestor Parolya},
title = {Optimal shrinkage-based portfolio selection in high dimensions},
journal = {Journal of Business & Economic Statistics},
volume = {41},
number = {1},
pages = {140-156},
year  = {2023},
%publisher = {Taylor & Francis},
doi = {10.1080/07350015.2021.2004897},
URL = {https://doi.org/10.1080/07350015.2021.2004897},
eprint = {https://doi.org/10.1080/07350015.2021.2004897},
note="\url{https://doi.org/10.1080/07350015.2021.2004897}"
}

@article{BBP2022JMVA,
title = "Recent advances in shrinkage-based high-dimensional inference",
journal = "Journal of Multivariate Analysis",
volume = {188},
number = {},
pages = {104826},
year = "2022",
note="\url{https://doi.org/10.1016/j.jmva.2021.104826}",
author = "Olha Bodnar, Taras Bodnar and Nestor Parolya"
}

@article{bodnar2021RMTA,
title = "Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions",
journal = "Random matrices: Theory and Applications",
volume = {11},
number = {1},
pages = {2250008},
year = "2021",
note="\url{https://doi.org/10.1142/S2010326322500083}",
author = "Taras Bodnar, Holger Dette, Nestor Parolya and Erik Thorsén"
}

@article{bayesmeanvar2021,
title={Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty},
author={David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid},
journal={Quantitative Finance},
note="\url{https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1748214}",
year={2021},
volume={21},
number={2},
pages={221-242}
}

@article{bodnar2020euIEEE,
title = "Statistical inference for the expected utility portfolio in high dimensions",
journal = "IEEE - Transactions of Signal Processing",
year = "2020",
note="\url{https://doi.org/10.1109/TSP.2020.3037369}",
author = "Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin, Nestor Parolya and Wolfgang Schmid",
volume={69},
pages={1-14}
}

@incollection{dietrich2020,
title={Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices},
author={Taras Bodnar and Nestor Parolya},
booktitle={Recent Developments in Multivariate and Random Matrix Analysis},
note="\url{https://doi.org/10.1007/978-3-030-56773-6_1}",
publisher={In: Holgersson T., Singull M. (eds) Recent Developments in Multivariate and Random Matrix Analysis: Festschrift in Honour of Dietrich von Rosen. Springer, Cham},
editor={Thomas Holgersson and Martin Singull},
year=2020,
pages={1-16}
}

@article{meanvareff2020,
title={Mean-variance efficiency of optimal power and logarithmic utility portfolios},
author={Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya and Wolfgang Schmid},
journal={Mathematics and Financial Economics},
note="\url{https://doi.org/10.1007/s11579-020-00270-1}",
year={2020},
volume={14},
number={4},
pages={675-698}
}

@article{bayesmulti2020,
  title={Bayesian inference of the multi-period optimal portfolio for an exponential utility},
  author={David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid},
  journal={Journal of Multivariate Analysis},
  note="\url{https://doi.org/10.1016/j.jmva.2019.104544}",
  year={2020},
volume={175},
pages={104544}
}

@article{bodnar2019testing,
  title={Testing for independence of large dimensional vectors},
  author={Taras Bodnar, Holger Dette and Nestor Parolya},
  journal={Annals of Statistics},
  volume={47},
  number={5},
  pages={2977-3008},
 note="\url{http://dx.doi.org/10.1214/18-AOS1771}",
  year={2019}
}

@article{bodnar2019gmvIEEE,
title = "Tests for the weights of the global minimum variance portfolio in a high-dimensional setting",
journal = "IEEE - Transactions of Signal Processing",
volume = {67},
number = {17},
pages = {4479-4493},
year = "2019",
note="\url{https://doi.org/10.1109/TSP.2019.2929964}",
author = "Taras Bodnar, Solomiia Dmytriv, Nestor Parolya and Wolfgang Schmid"
}

@article{CLTBodnarParolyaMazur,
author = {Taras Bodnar, Stepan Mazur and Nestor Parolya},
title = {Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions},
journal = {Scandinavian Journal of Statistics},
volume = {46},
number = {2},
pages = {636-660},
keywords = {large-dimensional asymptotics, normal mixtures, random matrix theory, skew normal distribution, stochastic representation},
doi = {10.1111/sjos.12383},
note= "\url{https://doi.org/10.1111/sjos.12383}",
year = {2019}
}

@article{bodnar2019discriminant,
  title={Discriminant analysis in small and large dimensions},
  author={Taras Bodnar, Stepan Mazur, Edward Ngailo and Nestor Parolya},
  journal={Theory of Probability and Mathematical Statistics},
  note="\url{http://probability.univ.kiev.ua/tims/issues-new/100/PDF/5.pdf}",
  year={2019},
  pages={24-42},
  volume = {100},
  number = {1}
}

@article{BODNAR201963,
title = "Optimal shrinkage estimator for high-dimensional mean vector",
journal = "Journal of Multivariate Analysis",
volume = "170",
pages = "63 - 79",
year = "2019",
note="\url{https://doi.org/10.1016/j.jmva.2018.07.004}",
author = "Taras Bodnar, Ostap Okhrin and Nestor Parolya"
}

@article{bodnar2019product,
  title={On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension},
  author={Taras Bodnar, Stepan Mazur, Stanislas Muhinyuza and Nestor Parolya},
  journal={Theory of Probability and Mathematical Statistics},
volume="2",
number="99",
pages="37-50",
  year={2018},
note="\url{http://probability.univ.kiev.ua/tims/issues-new/99/PDF/6.pdf}"
}

@article{BODNAR2018371,
title = "Estimation of the global minimum variance portfolio in high dimensions",
journal = "European Journal of Operational Research",
volume = "266",
number = "1",
pages = "371 - 390",
year = "2018",
note = "\url{https://doi.org/10.1016/j.ejor.2017.09.028}",
author = "Taras Bodnar, Nestor Parolya and Wolfgang Schmid"
}

@article{GolosnoyParolya2017,
author = {Vasyl Golosnoy and Nestor Parolya},
title = {To have what they are having: portfolio choice for mimicking mean–variance savers},
journal = {Quantitative Finance},
volume = {17},
number = {11},
pages = {1645-1653},
year  = {2017},
note="\url{https://doi.org/10.1080/14697688.2017.1301674}"
}

@article{BODNAR2016160,
title = "Spectral analysis of the Moore–Penrose inverse of a large dimensional sample covariance matrix",
journal = "Journal of Multivariate Analysis",
volume = "148",
pages = "160 - 172",
year = "2016",
note = "\url{https://doi.org/10.1016/j.jmva.2016.03.001}",
author = "Taras Bodnar, Holger Dette and Nestor Parolya"
}

@article{BODNAR2016223,
title = "Direct shrinkage estimation of large dimensional precision matrix",
author = "Taras Bodnar, Arjun Gupta and Nestor Parolya",
journal = "Journal of Multivariate Analysis",
volume = "146",
pages = "223 - 236",
year = "2016",
note = "\url{https://doi.org/10.1016/j.jmva.2015.09.010}"
}

@article{BODNAR2015528,
title = "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability",
journal = "European Journal of Operational Research",
volume = "246",
number = "2",
pages = "528 - 542",
year = "2015",
note = "\url{https://doi.org/10.1016/j.ejor.2015.04.039}",
author = "Taras Bodnar, Nestor Parolya and Wolfgang Schmid"
}

@Article{Bodnar2015,
author="Taras Bodnar, Nestor Parolya and Wolfgang Schmid",
title="A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function",
journal="Annals of Operations Research",
year="2015",
month="Jun",
day="01",
volume="229",
number="1",
pages="121-158",
note="\url{https://doi.org/10.1007/s10479-015-1802-z}"
}

@article{BODNAR2014215,
title = "On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix",
author = "Taras Bodnar, Arjun Gupta and Nestor Parolya",
journal = "Journal of Multivariate Analysis",
volume = "132",
pages = "215 - 228",
year = "2014",
note= "\url{https://doi.org/10.1016/j.jmva.2014.08.006}",
}

@article{BODNAR2013637,
title = "On the equivalence of quadratic optimization problems commonly used in portfolio theory",
author="Taras Bodnar, Nestor Parolya and Wolfgang Schmid",
journal = "European Journal of Operational Research",
volume = "229",
number = "3",
pages = "637 -- 644",
year = "2013",
note = "\url{https://doi.org/10.1016/j.ejor.2013.03.002}",
}