Abstract: According to Markowitz's analysis of mean-VaR portfolio model and the constraint of investment chance model,under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model including riskfree securities is established under constraint of investment chance.Existence and uniqueness of the model's optimal solution are discussed on the base of mean-VaR model's effective border.We introduce the constraint of investment chance and obtained the explicit representation of the optimal solution.

Key words: riskfree security, portfolio, confidence level, constraint of investment chance, VaR