This paper considers passive fund selection from an individual investor’s perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem. A Bayesian decision-theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.

中文翻译：

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个人被动投资的投资组合选择

本文从个人投资者的角度考虑被动基金选择。过去十年被动基金市场的增长令人震惊。希望为退休和经纪账户购买这些基金的个人投资者有很多选择，并且面临着艰难的选择问题。他们投资哪些基金，投资比例如何？我们开发了一种新颖的统计方法来解决这个问题。提出了一种贝叶斯决策理论方法，以随着时间的推移为个人投资者构建最佳稀疏投资组合。