Muddahudda

Short-selling isn’t a constraint. A portfolio can, and often does, contain negative weights. That’s what optimization is all about. You’re right that it’s impossible to reduce the portfolio risk in all situations if you can only go long, but that’s not an assumption. And, even if you couldn’t short, your answer to the original question is still wrong. The ideal answer is the closest possible to 0 (and if you managed to have -1, that would absolutely reduce your risk since there wouldn’t be any), which includes anything between (-1, 1).