• Title of article

    The matrix rate of return

  • Author/Authors

    Anna Zambrzycka، نويسنده , , Edward W. Piotrowski، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    7
  • From page
    347
  • To page
    353
  • 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.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2007
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    871825