Abstract:

In the BVaR risk measure,  the maximum of earnings per risk portfolio model with restricted short selling was put forward, and the model was transformed into an unconstrained optimization problem through the penalty function, and then the problem was solved by using adaptive differential evolution algorithm. The empirical analysis shows that the algorithm is effective and the constraint of restricted short selling is reasonable, which contributes to the expansion of investment opportunities, enhances the market efficiency and reduce the market risk.

Key words:  portfolio; restricted short selling; Bayes value at risk; adaptive differential evolution