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，并联系Treynor和Mazuy关于特征线的经典猜想，对关注绩效评估的学者和从业者有用。
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.