The matrix rate of return

Anna Zambrzycka and Edward Piotrowski ()

Physica A: Statistical Mechanics and its Applications, 2007, vol. 382, issue 1, 347-353

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.

Keywords: Interest rates; Finance; Capital processes; Investment techniques; Harmonic oscillator (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037843710700163X
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
Working Paper: The matrix rate of return (2006)
Working Paper: The Matrix Rate of Return
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:382:y:2007:i:1:p:347-353

DOI: 10.1016/j.physa.2007.02.028

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().