Performance Measurement under Asymmetric Information and Investment Constraints.
The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. This paper, using a standard information model, shows how the introduction of constraints on the proportion of assets to be invested in the market affect the expected portfolio returns and the value of a portfolio manager's performance. The results are related to the classical Treynor and Mazuy (1966) conjectures about characteristic lines. Copyright 1990 by American Finance Association.
Year of publication: |
1990
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Authors: | Gendron, Michel ; Genest, Christian |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 45.1990, 5, p. 1655-61
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Publisher: |
American Finance Association - AFA |
Saved in:
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