  We develop and implement methods for determining whether introducing new
securities or relaxing investment constraints improves the investment
opportunity set for prospect investors. We formulate a new testing procedure
for prospect spanning for two nested portfolio sets based on subsampling and
Linear Programming. In an application, we use the prospect spanning framework
to evaluate whether well-known anomalies are spanned by standard factors. We
find that of the strategies considered, many expand the opportunity set of the
prospect type investors, thus have real economic value for them. In-sample and
out-of-sample results prove remarkably consistent in identifying genuine
anomalies for prospect investors.
