• Statistical learning models (122 - cs)
• The Architecture of Large-scale Systems (122 - cs)

BOOKS AND MONOGRAFS

2017 – Modelling in management of financial assets portfolio. Ivan Franko Lviv National University Press, Lviv, Ukraine. (in Ukrainian)

2015 – Statistics of portfolio: selected lectures, (with M. Zabolotskyy). Ivan Franko Lviv National University Press, Lviv, Ukraine. (in Ukrainian)

JOURNAL ARTICLES

2018 – Determination and estimation of risk aversion coefficients, (with Т. Bodnar, Y. Okhrin, V. Vitlinskyy). Computational management science 15 (2): 297-317.

2017 – Modelling the coefficient of investor risk aversion. Actual Problems of Economics 4 (190): 215-225. (in Ukrainian)

2017 – How risky is the optimal portfolio which maximizes the Sharpe ratio? (with T. Bodnar). ASTA – Advances in statistical analysis 101 (1): 1-28.

2016 – Estimation of confidence level for Value-at-Risk: statistical analysis. Economic Annals-XXI 158 (3-4(2)): 83-87.

2014 – Modeling of active banking operations management in crisis and post-crisis periods, (with I. Korkuna and A. Tsyktor). Actual Problems of Economics 8 (158): 428-435. (in Ukrainian)

2013 – The distribution of the characteristics of the maximum expected utility portfolio based on VaR: the impact of investor’s risk aversion coefficient, (with V. Vitlinskyy). Economic Cybernetics 4-6 (82-84): 4-11.

2013 – Maximization of the Sharpe ratio of an asset portfolio in the context of risk minimization, (with T. Bodnar). Economic Annals-XXI 11-12 (1): 110-113. (in Ukrainian)

2013 – Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data, (with T. Bodnar and W. Schmid). Metrica 76: 1105–1134.

2012 – Portfolio choice problem with the Value-at-Risk utility function under general linear constraints, (with T. Bodnar and V. Vitlinskyy). Economic Cybernetics 4-6 (76-78): 4-11.

2012 – Minimum VaR and Minimum CVaR optimal portfolios: estimators, confidence regions, and tests, (with T. Bodnar and W. Schmid). Statistics & Risk Modeling 29: 281-314.

2012 – The joint distribution of expected return and variance of the minimum VaR portfolio characteristics. Modelling and informational systems in economics 86: 107-119. (in Ukrainian)

2011 – The distribution of the minimum VaR portfolio characteristics. Modelling and informational systems in economics 85: 165-179. (in Ukrainian)

2011 – Estimation of the weights of the minimum VaR currency portfolio. Bulletin of National Bank of Ukraine 7: 72-74. (in Ukrainian)

2010 – Estimation and inference of the vector autoregressive process under heteroscedasticity, (with T. Bodnar). TIMS 83: 22-38.

2010 – Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models, (with T. Bodnar). Statistics 44 (1): 1–15.

2009 – Statistical inference of the efficient frontier for dependent asset returns, (with T. Bodnar and W. Schmid). Statistical Papers 50: 593-604.

2008 – Distributions of the weights of sample optimal portfolios in multivariate conditionally heteroscedastic elliptical models, (with T. Bodnar). Journal of Money, Investment and Banking 1: 5-23.

2008 – On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio, (with W. Schmid). ASTA – Advances in statistical analysis 92 (1): 29-34.

ACADEMIC CAREER

Since Dec. 2018 – Professor at the Department of programming, Ivan Franko Lviv National University, Ukraine

Sept. 2016 – Dec. 2018 – Associate professor at the Department of programming, Ivan Franko Lviv National University, Ukraine

May 2010 – Aug. 2016 – Associate professor at the Department of Computer Technologies, Lviv Banking Institute University of Banking the National bank of Ukraine, Ukraine

Oct. 2009 – March 2010 – Research Assistant at the Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany

Feb. 2009 – July 2009 – Research Assistant at the Department of Statistics, European University Viadrina, Frankfurt (Oder), Germany; DFG Project „Sequenzielle Überwachung von optimalen Portfoliogewichten“

EDUCATION

2017 – Habilitation in mathematical methods, models and IT in economics,
Vadym Hetman Kyiv National Economic University, Ukraine

2009 – PhD in Economics (nostrification), Ivan Franko Lviv National University, Ukraine

2007 – PhD in Economics (magna cum laude), European University Viadrina, Germany

2004 – MSc in Mathematical Statistics (distinction), Ivan Franko Lviv National University, Ukraine

2003 – BSc in Mathematics (distinction), Ivan Franko Lviv National University, Ukraine

1st semester
2nd semester