The matrix rate of return
Copyright policy )The matrix rate of return
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.
APFA5 Conference, Torino, 2006
- Polish Academy of Sciences Poland
- Institute of Physics Poland
- Institute of Mathematics Poland
- Uniwersytet w Białymstoku (University of Bialystok) Poland
- University of Białystok Poland
FOS: Economics and business, Physics - Physics and Society, Portfolio Management (q-fin.PM), FOS: Physical sciences, Physics and Society (physics.soc-ph), Quantitative Finance - Portfolio Management
FOS: Economics and business, Physics - Physics and Society, Portfolio Management (q-fin.PM), FOS: Physical sciences, Physics and Society (physics.soc-ph), Quantitative Finance - Portfolio Management
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