Article ID Journal Published Year Pages File Type
979609 Physica A: Statistical Mechanics and its Applications 2007 7 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
Authors
, ,