在考虑交易成本的基础上,构造最优投资组合选择的极大极小模型,同时允许投资者卖空风险资产.在求解过程中,针对出现的非光滑函数,通过引入极大熵函数用光滑问题来逼近非光滑问题.最后推导出连续可微的方程组,可采用经典牛顿法求解.数值分析验证了该方法的有效性. Considering the transaction cost, this paper constructs the minimax model of optimal portfolio selection, and allows investors to short-sell risky assets.In the process of solving, in view of the nonsmooth function, by introducing the maximum entropy function, Problem to approximate the nonsmooth problem.Finally, we derive a series of differentiable equations which can be solved by classical Newton method.Numerical analysis shows the effectiveness of this method.