Menu simplification for portfolio selection under short‐sales constraints
提出一种基于风险降低的程序，在卖空约束下从基金池中选出子集，其机会集不劣于原菜单。利用美国养老金数据，平均减少75%的选项，对金融素养有限的参与者尤其有用。
Abstract We introduce a risk‐reduction‐based procedure to identify a subset of funds with a resulting opportunity set that is at least as good as the original menu when short‐sales are imposed. Relying on Wald tests for mean‐variance spanning, we show that the better results for the subset can be explained by a higher concentration of covariance entries between its assets, ultimately leading to smaller Frobenius norms of the associated matrices. With data on US‐defined contribution plans, where participants have limited financial literacy, tend to be overwhelmed and prefer to make decisions among fewer choices, we obtain a 75% average reduction.