Performance Measurement under Asymmetric Information and Investment Constraints

Michel Gendron and Christian Genest

Journal of Finance, 1990, vol. 45, issue 5, 1655-61

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 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.

Date: 1990
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