2 citations · 2 across the 4 of their papers we have counts for
4 papers
How Not To Do Mean-Variance Analysis
Vic Norton
We use the 2014 market history of two high-returning biotechnology exchange-traded funds to illustrate how ex post mean-variance analysis should not be done. Unfortunately, the way…
An algorithm for the orthogonal decomposition of financial return data
Vic Norton
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and "systemic", "productive", and "nonproductive" risk. G…
Adjusted Closing Prices
Vic Norton
Historical returns depend on historical closing prices and distributions. We describe how to compute adjusted closing prices from closing price/distribution data with an emphasis o…
Notional portfolios and normalized linear returns
Vic Norton
The vector of periodic, compound returns of a typical investment portfolio is almost never a convex combination of the return vectors of the securities in the portfolio. As a resul…