Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979609 | Physica A: Statistical Mechanics and its Applications | 2007 | 7 Pages |
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
Anna Zambrzycka, Edward W. Piotrowski,