关键词: 投资组合, 背景风险, 财务困境, 保守卖空, NSGA-II算法

Abstract: How to reasonably consider both the background risks faced by investors and the real market constraints to make effective investment decisions is an important practical management decision problem that has aroused wide concern. This paper studies a portfolio selection problem with conservative short selling and financial distress, where investors face both additive and multiplicative background risks. We assume that investors seek the optimal portfolio strategies with the objectives of maximizing the investment return, minimizing the investment risk and minimizing the financial distress about the issuers of the securities. We propose a background risk portfolio model with conservative short selling and financial distress. Then, we apply the nondominant sorting genetic algorithm with elite strategy to solve the proposed model. After that, we provide an empirical analysis to demonstrate the application of our model. The computational results show that incorporating conservative short selling into portfolio selection can provide investors with a higher investment return, and the change of either of the aforementioned two types of background risk will lead to the change of efficient frontier.

Key words: portfolio model, background risk, financial distress, conservative short-selling, NSGA-II algorithm