Portfolio Constraints and the Fundamental Law of Active Management

By Roger Clarke, Harindra de Silva, Steven Thorley. 2002

242 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7eceece14dedd83294e83f53cd413442522a42c2

How researchers see this paper

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In Finance

1. K. Brown
2. Andrés Almazán
3. David A. Chapman
4. Lu Zhang
5. Jianqing Fan
6. Garland B. Durham

Citations in the corpus

• Why constrain your mutual fund manager (2004, background): “3 (2002) concentrate on the ability of funds to use derivative securities while Clarke, de Silva, and Thorley (2002) consider the narrower conceptual question of how investment restrictions on position size and portfolio turnover impact a manager’s ability to produce superior risk-adjusted returns.”
• Centre De Referència En Economia Analítica Barcelona Economics Working Paper Series Working Paper Nº 92 Honey, I Shrunk the Sample Covariance Matrix Honey, I Shrunk the Sample Covariance Matrix (unknown): “Adding further constraints generally reduces the ex post information ratio; see Clarke et al. (2002).”