The literature shows a substantial portion of momentum profits come from illiquid investments and short-selling, entailing abnormal transaction costs. Concentrating on liquid long-only investments, we investigate momentum using index out-performance portfolio selection (via a modified Sortino...

This paper shows that portfolio constraints have important implications for management compensation and performance evaluation. Concretely, in the presence of portfolio constraints, allowing for benchmarking can be beneficial. Benchmark design arises as an alternative effort inducement mechanism...

This study proposes a test for mean-variance efficiency of a given portfolio under general linear investment restrictions. We introduce a new definition of pricing error or “alpha” and as an efficiency measure we propose to use the largest positive alpha for any vertex of the portfolio...