Title: Performance Measurement under Asymmetric Information and Investment Constraints
Abstract: ABSTRACT 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 affects 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.
Publication Year: 1990
Publication Date: 1990-12-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 5
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