M. Gendron is from the Departement de finance et d'assurance, and C. Genest is from the Departement de mathematiques et de statistique, Universite Laval, Quebec. The authors would like to thank Professors David Mayers and Seha Tinic, whose suggestions helped to improve the readability of the manuscript. The paper benefited also from comments provided by the participants at the 24th Annual Conference of the Western Finance Association. This work was supported in part by a grant from the Natural Sciences and Engineering Research Council of Canada.
Performance Measurement under Asymmetric Information and Investment Constraints
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 5, pages 1655–1661, December 1990
How to Cite
GENDRON, M. and GENEST, C. (1990), Performance Measurement under Asymmetric Information and Investment Constraints. The Journal of Finance, 45: 1655–1661. doi: 10.1111/j.1540-6261.1990.tb03734.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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.