Pynnonen, S. (1995). An application of modern portfolio theory on systematic portfolio strategies. The Finnish Journal of Business Economics. No. 2, 45--58.

This paper considers active portfolio management under the assumptions that short selling is not allowed, or is otherwise inconvenient to carry out. Under these assumptions the fractions of market return and risk are incorporated as parts of the total excess return and risk that are due to the active management. The necessary formulas are derived under the assumption that the quadratic utility function serves a reasonable approximation to the investor's preferences. Both portfolio and share level evaluation tools are given. An investor can exploit these tools in evaluation whether the current portfolio does optimally match his/her willingness to bear risk as a cost for extra return from active portfolio management.