Abstract: The paper combines the advantages of both the mean-VaR model and the chance-constrained programming model and presents an chance-constrained portfolio problem with transaction costs and varying capital structure factor in 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.Moreover,the explicit representation of the optimal solution is given.

Key words: Value at Risk(VaR), chance-constrained programming, capital structure factor, transaction cost, efficient frontier