The Matrix Rate of Return
AbstractIn 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.
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Bibliographic InfoPaper provided by University of Bialtystok, Department of Theoretical Physics in its series Departmental Working Papers with number 25.
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-09-16 (All new papers)
- NEP-FIN-2006-09-16 (Finance)
- NEP-RMG-2006-09-16 (Risk Management)
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- 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.
- Anna Szczypinska & Edward W. Piotrowski, . "Projective Market Model Approach to AHP Decision-Making," Departmental Working Papers 32, University of Bialtystok, Department of Theoretical Physics.
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