haku: @author Gendron, M. / yhteensä: 3
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| Tekijä: | Gendron, M. Genest, C. |
| Otsikko: | Performance measurement under asymmetric information and investment constraints |
| Lehti: | Journal of Finance
1990 : DEC, VOL. 45:5, p. 1655-1661 |
| Asiasana: | PERFORMANCE MEASUREMENT ECONOMICS LITERATURE INVESTMENT INFORMATION PORTFOLIO MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | The fact that investment policies are often restricted appears to have been neglected in the performance measurement literature. Using a standard information model, it is shown 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 conjectures about characteristic lines. |
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