Nestor Parolya

Assistant professor

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

Office: 36.HB 06.290
Email: n.parolya@tudelft.nl

Research interests

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

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 March 2022 Coordinator of Minor Finance at TU Delft

since 2022 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

Naqi Huang (TU Delft), thesis "Statistical Integer Linear Programming in High Dimensions", defence date approx. 2027
Dr. Dmytro Ivasiuk (PostDoc at University of Viadrina, Germany), thesis "New Results on Optimal Portfolio Selection for the Power Utility Function",
defence date 23.02.2022

Dr. Solomiia Dmytriv (PostDoc at University of Vienna, Austria), thesis "Statistical Theory of High-Dimensional Portfolios", defence date 23.07.2020

Honours and Awards

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 .


"Two is better than one: Regularized shrinkage of large minimum variance portfolio" available.
Joint work with Taras Bodnar (Stockholm University) and Erik Thorsen (Stockholm University). arxiv.org .