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The matrix rate of return

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  • Anna Zambrzycka
  • Edward W. Piotrowski

Abstract

In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous analysis of evolution of baskets parameterized by complex variables in both continuous and discrete time models.

Suggested Citation

  • Anna Zambrzycka & Edward W. Piotrowski, 2006. "The matrix rate of return," Papers physics/0607175, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0607175
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    File URL: http://arxiv.org/pdf/physics/0607175
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    1. Zambrzycka, Anna & Piotrowski, Edward W., 2007. "The matrix rate of return," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 347-353.
    2. Edward W. Piotrowski, "undated". "The Matrix Rate of Return (in Polish)," Departmental Working Papers 109pl, University of Bialtystok, Department of Theoretical Physics.
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    Cited by:

    1. Zambrzycka, Anna & Piotrowski, Edward W., 2007. "The matrix rate of return," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 347-353.
    2. Szczypińska, Anna & Piotrowski, Edward W., 2008. "Projective market model approach to AHP decision making," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3982-3986.
    3. Piotrowski, Edward W. & Sładkowski, Jan, 2007. "Geometry of financial markets—Towards information theory model of markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 228-234.

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    1. Szczypińska, Anna & Piotrowski, Edward W., 2008. "Projective market model approach to AHP decision making," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3982-3986.
    2. Piotrowski, Edward W. & Sładkowski, Jan, 2007. "Geometry of financial markets—Towards information theory model of markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 228-234.

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