Efficiency loss and constraints on portfolio holdings
研究不同持仓约束下投资组合的效率损失，发现无约束时NYSE-AMEX市场组合的预期收益率年化损失超20%，而禁止卖空时损失仅约4%，且卖空约束大幅降低效率推断的不确定性。
This paper examines the degree of portfolio inefficiency subject to various constraints on portfolio weights. When portfolio weights are unconstrained, the posterior loss in expected return on the NYSE-AMEX market portfolio is over 20% (annualized). In contrast, when portfolio weights are constrained to be nonnegative, the posterior loss in expected return is only about 4% (annualized). In addition, short-sale constraints greatly reduce uncertainty in inferences about portfolio efficiency.