The Study on aaa Mean-VaR Portfolio Optimal Model under Different Riskfree Rates and Constraint of Investment Chance

摘要

Riskfree securities (including riskfree debit and credit) with different riskfree rates are introduced in the mean-VaR (Value at Risk) portfolio model. Existence and uniqueness of the model's optimal solution are proved. Then constraints of investment chance are introduced on the mean-VaR model's effective border, we obtained the explicit representation of the optimal solution of this mean-VaR model subjected to constraints of investment chance.