2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.PM2018
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…
q-fin.PM2011★ 2 cited
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…
q-fin.PM2011
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…