Short selling strategy leads to a portfolio with significantly better risk-return structure compared to the standard approach. Moreover, investors can use risk-neutral interest rate to increase the return of the portfolio. In this paper, we study the cardinality-constrained mean–variance portfolio optimization model with and without short selling and risk-neutral interest rate. First, to avoid negative investment in stocks with no short selling position, the non-negativeness of the product of each stock’s return to the proportion of investment on it is added to the model as a constraint. Then, we further present an improved model, where instead of determining the term of the short rebate according to the proportion of the total funds invested, it is determined according to the return. Finally, all models are compared using the data set of the S&P 500 index, Communication Service.

与标准方法相比，卖空策略导致投资组合具有明显更好的风险回报结构。此外，投资者可以使用风险中性利率来增加投资组合的回报。在本文中，我们研究了有和没有卖空和风险中性利率的基数约束均值-方差投资组合优化模型。首先，为了避免对没有卖空头寸的股票进行负投资，将每只股票的收益与其投资比例的乘积的非负性作为约束加入模型。然后，我们进一步提出了一个改进的模型，不是根据投资总额的比例来确定空头返利期限，而是根据回报来确定。最后，