Implementation Efficiency
利用风险、协方差和相关性分析，衡量交易成本和投资约束导致的实施损失，并预测预期效用和信息比率如何受投资过程、信息周转、风险厌恶和交易成本影响。
An analysis of risk, covariance, and correlation is used to measure the implementation losses that arise as a result of transaction costs and investment constraints. Losses are measured relative to an ideal, costless, and unconstrained implementation. The figure of merit is mean-variance expected utility expressed as portfolio alpha minus penalties for active variance and transaction costs. In a general setting, before-cost results are found that define the opportunity loss and identify its sources. In a specific case, after-cost results are found that enable prediction of how expected utility and information ratios are influenced by the investment process, information turnover, risk aversion, and transaction costs.