The portfolio selection problems with chance-constrained

A chance-constrained problem of portfolio selection is to choose a portfolio to minimize standard deviation under the condition that the probability where the portfolio rate of return is greater than an expected rate of return and is no less than a confidence level. When short selling is not allowed, the chance-constrained problem of portfolio selection is investigated, its deterministic equivalent mathematical model is established, its properties of existence and uniqueness of the optimal solution is discussed, and the steps of obtaining the optimal solution are given. The programs for an efficient frontier, permission set and optimal solution are devised by Matlab. Finally, an illustrative example is provided.