We proposed a mean variance portfolio selection model with the restricted short sales.The model was a convex quadric programming problem and was solved by the pivoting algorithm.

• 摘要本文提出了限制性卖空的均值-方差投资组合模型，通过变量替换将该模型转变为一般二次规划问题，从而运用不等式组的旋转算法进行求解。