机会约束下的均值-VaR组合投资问题

结合均值一方差模型和机会约束模型提出在允许卖空时的机会约束下的均值-VaB模型，它是以期望收益率与置信水平为导向的．在假设投资收益率服从正态分布的条件下，建立了其数学模型，讨论了最优解的存在性与唯一性，得到了最优解的解析表达式，并用Matlab语言给出求解程序，最后举例予以说明并验证了两个重要结论．

Chance-constrained mean-VaR portfolio problem

Assuming that the rates of return obey normal distribution, this paper combines the advantages of both the mean-VaR model and the chance-constrained programming model and presents a chance-constrained mean-VaR portfolio problem with short selling, which is determined by expected rate of return and confidence level. Its mathematical model is established, and the properties of existence and uniqueness of the optimal solution are discussed. Furthermore, the explicit representation of the optimal solution is given. By Matlab language, the program of obtaining the optimal solution is devised. Finally, an illustrative example is provided and two conclusions are proved.