Projective Market Model Approach to AHP Decision-Making
Portfolio Management
2009-11-13 v2 Data Analysis, Statistics and Probability
Physics and Society
Abstract
In this paper we describe market in projective geometry language and give definition of a matrix of market rate, which is related to the matrix rate of return and the matrix of judgements in the Analytic Hierarchy Process (AHP). We use these observations to extend the AHP model to projective geometry formalism and generalise it to intransitive case. We give financial interpretations of such generalised model and propose its simplification. The unification of the AHP model and projective aspect of portfolio theory suggests a wide spectrum of new applications such extended model.
Keywords
Cite
@article{arxiv.0709.4358,
title = {Projective Market Model Approach to AHP Decision-Making},
author = {Anna Szczypinska and Edward W. Piotrowski},
journal= {arXiv preprint arXiv:0709.4358},
year = {2009}
}
Comments
APFA 6 - Applications of Physics in Financial Analysis 6th International Conference, 4-7 July 2007, Lisbon, Portugal