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 affect 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. Copyright 1990 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 45 (1990) Issue (Month): 5 (December) Pages: 1655-61 Download reference. The following formats are available: HTML
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