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This method evaluates portfolio performance using economic indicators, suggesting improved understanding of financial instruments.
This paper introduces a new scheme for portfolio evaluation founded on a linear expansion in a basis of economic indicators. The core idea is to express the price movement of a complex set of financial instruments by several carefully selected indicators whose behavior is by far more understandable than the complicated relations of financial derivatives contained in the portfolio. The principles of selection of the economic indicators for a given portfolio are discussed in detail and the method is tested on a basic portfolio containing one stock.
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小俣 et al. (2012) studied this question.
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