2 citations · 6 across the 22 of their papers we have counts for
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Market-Based Variance of Market Portfolio and of Entire Market
Victor Olkhov
We present the unified market-based description of returns and variances of the trades with shares of a particular security, of the trades with shares of all securities in the mark…
Unwitting Markowitz' Simplification of Portfolio Random Returns
Victor Olkhov
In his famous paper, Markowitz (1952) derived the dependence of portfolio random returns on the random returns of its securities. This result allowed Markowitz to obtain his famous…
Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
Victor Olkhov
We consider the investor who doesn't trade shares of his portfolio. The investor only observes the current trades made in the market with his securities to estimate the current ret…
Market-Based Portfolio Variance
Victor Olkhov
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series…
Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
Victor Olkhov
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical momen…
Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts
Victor Olkhov
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volum…
Theoretical Economics as Successive Approximations of Statistical Moments
Victor Olkhov
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values a…
Market-Based "Actual" Returns of Investors
Victor Olkhov
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities,…
Market-Based Probability of Stock Returns
Victor Olkhov
This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's…
Why Economic Theories and Policies Fail? Unnoticed Variables and Overlooked Economics
Victor Olkhov
Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic real…
Market-Based Asset Price Probability
Victor Olkhov
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted a…
Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model
Victor Olkhov
This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain th…
Market-Based Price Autocorrelation
Victor Olkhov
This paper assumes that the randomness of market trade values and volumes determines the properties of stochastic market prices. We derive the direct dependence of the first two pr…
Three Remarks On Asset Pricing
Victor Olkhov
We consider the consumption-based asset pricing model, derive a new modified basic pricing equation, and present its successive approximations using the Taylor series expansions of…
To VaR, or Not to VaR, That is the Question
Victor Olkhov
We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of…
Business Cycles as Collective Risk Fluctuations
Victor Olkhov
We suggest use continuous numerical risk grades [0,1] of R for a single risk or the unit cube in Rn for n risks as the economic domain. We consider risk ratings of economic agents…
Econophysics of Asset Price, Return and Multiple Expectations
Victor Olkhov
This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations c…
Econophysics Beyond General Equilibrium: the Business Cycle Model
Victor Olkhov
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We trea…
Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean Risks and Mean Square Risks
Victor Olkhov
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on…
Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves
Victor Olkhov
This paper describes surface-like waves of macroeconomic Credits-Loans transactions on economic space. We use agent's risk ratings as their coordinates and describe evolution of ma…
Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables
Victor Olkhov
This paper models macro financial variables alike to financial fluids with local interactions and describes surface-like waves of Investment and Profits. We regard macro-finance as…
Econophysics of Macroeconomics: "Action-at-a-Distance" and Waves
Victor Olkhov
We present macroeconomic model that describes evolution of macroeconomic variables and macroeconomic waves on economic space. Risk ratings of economic agents play role of their coo…
Econophysics Macroeconomic Model
Victor Olkhov
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as t…