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中文摘要：
选取封闭式基金作为投资对象,构建投资组合,研究了卖空约束对组合投资效率的影响。结论表明：（1）相对于不允许卖空的组合投资,允许卖空条件下组合投资的转移系数和信息率得到提高,alpha-TE有效边界得到扩张,同时也拓展了投资经理的投资空间;（2）投资业绩（信息率）提升得益于转移系数的提高,转移系数提高越多组合业绩提升越显著;（3）尤其对激进型投资经理来说,取消卖空约束对提高组合投资效率的作用更为显著。
英文摘要：
Selecting closed-end funds as investment instrument and constructing portfolio,this paper studies the effect of shorting sales constraint on portfolio efficiency.The results show that： 1） compared to no shorting sales,portfolio efficiency described by transfer coefficient,information ratio,alpha-TE efficient frontier and investment space under the condition of shorting permitted is improved;2） the improvement of performance benefits from the increase of transfer coefficient;the more transfer coefficient increases,the more the performance improves;3） for aggressive investment managers,the effect of canceling short sales constraint is significant.
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