Performance Measurement under Asymmetric Information and Investment Constraints

  • Author(s): MICHEL GENDRON, CHRISTIAN GENEST
  • Published: Apr 30, 2012
  • Pages: 1655-1661
  • DOI: 10.1111/j.1540-6261.1990.tb03734.x

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.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version