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The Matrix Rate of Return

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  • Anna Zambrzycka

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  • Edward W. Piotrowski

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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, "undated". "The Matrix Rate of Return," Departmental Working Papers 25, University of Bialtystok, Department of Theoretical Physics.
  • Handle: RePEc:sla:eakjkl:25
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    File URL: http://alpha.uwb.edu.pl/ep/RePEc/sla/eakjkl/25.pdf
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    Cited by:

    1. Anna Szczypinska & Edward W. Piotrowski, "undated". "Projective Market Model Approach to AHP Decision-Making," Departmental Working Papers 32, University of Bialtystok, Department of Theoretical Physics.
    2. SzczypiƄska, 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.

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