关键词: 投资组合, 背景风险, 交易费用

Abstract: In practice, the investors always face the background risk. Most of the M-V framework in portfolio selection problems does not take it into account, so the utility of portfolio is influenced by the background risk. This article proposes a bi-objective portfolio selection model with background risk and transaction costs to study how background risk affects the utility and how background risk preference affects it. Then we introduce an improved genetic algorithm to solve this model. Finally, we use the collect data to test the performance of the model to the portfolio selection problem. Based on the empirical study, we make conclusions that when the expected return of background risk is zero, the model with background risk can better reflect the investment risk of the real economic environment; when the expected return of background risk is not zero, the model with background risk can yield more return. Thus, the model with background risk is superior to the model without it.

Key words: portfolio selection, background risk, transaction cost