Performance Measurement under Asymmetric Information and Investment Constraints
研究投资约束如何影响预期组合收益和经理绩效，基于信息模型，并与Treynor和Mazuy的经典猜想关联。
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.