Abstract: The paper studied mean-variance and mean-VaR models without short sales respectively, then used pivoting algorithm and sequence of quadratic programming method to solve those models.The algorithms were proved efficient by the empirical research.The result indicated that the efficient frontiers of mean-VaR model were the subset of the efficient frontiers of mean-variance model.The smaller the credit value was, the more the investors were interested in the portfolio that the expected return and variance were all big.

Key words: portfolio selection, without short sales, mean-VaR, sequence of quadratic programming, pivoting algorithm