Performance Measurement under Asymmetric Information and Investment Constraints
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- Author(s): MICHEL GENDRON, CHRISTIAN GENEST
- Published: Apr 30, 2012
- Pages: 1655-1661
- DOI: 10.1111/j.1540-6261.1990.tb03734.x
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.