Abstract: Under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model under constraint of investment chance is established.Existence and uniqueness of the model’s optimal solution are discussed.Moreover,the explicit representation of the optimal solution is obtained. It is observed by comparison that the mean-variance portfolio model under chanced constraint is the special case of the model discussed in this paper.

Key words: portfolio, constraint of investment chance, VaR, optimal solution