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中文摘要：
在有限自然状态的市场环境下，本文利用传统的均值-方差模型研究了限制最大损失时的证券投资组合问题，首先指出了含有无风险资产与不含有无风险资产两种情形在限制最大损失时模型的求解本质上是一样的，然后作为典型代表研究了n种风险资产在限制最大损失时的前沿边界及有效边界存在的充要条件及其本质特征，并根据这些结论给出了确定前沿边界及有效边界解析表达式的具体方法和步骤，最后作为结论的直接应用和说明，给出了一个具体的算例分析。
英文摘要：
This paper uses the mean-variance model to study the portfolio selection problem with maximum drawdown constraint in the market environment with a finite number of states. First it points out that solution method to the model with risk-free asset is the same as the model without rlsk-free asset. Then it only studies the mean-variance of n kinds of risk securities with maximum drawdown constraint, obtains existence conditions and features of the mean-variance efficient frontier and boundary, and gives a specific solution method and procedure to obtain the explicit expression of efficient frontier and boundary of the model. Finally, as an application and a demonstration of these results, a numerical example, is given.
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