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…