Quick comment for my future self. When doing portfolio choice I should divide decision variables into three types: d1 are in ReturnFn but not aprimeFn (e.g., endogenous labor), d2 are in both ReturnFn and aprimeFn (e.g., savings), and d3 are in aprimeFn but not ReturnFn (e.g., riskyshare).
Currently I just put d=(d1,d2,d3) into return and aprime, but this is wasteful. I should put (d1,d2) into ReturnFn, then refine to elimante d1. Then put (d2,d3) into aprimeFn, then refine to eliminate d3. I can then put refined ReturnFn and aprimeFn together having only d2 left. This is likely to be both faster and use substantially less memory.