A multi-objective portfolio model considering corporate social responsibility and background risk

Most of existing portfolio models only considered the financial risk or the financial return, and ignored any other risks or any other incomes, such as the skewness or kurtosis characteristics of the portfolio. In this paper, we propose a high moment multi-objective portfolio selection model based on background risk and corporate social responsibility (CSR). Then, we deduce the analytical solution of the portfolio model with the skewness risk and the kurtosis risk, when the risk asset and the financial return of background risk are random numbers. Finally, a numerical example is given based on the Shanghai Stock Exchange data and the Shenzhen Stock Exchange data.