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中文摘要：
均值-方差投资策略问题一般是在连续模型下研究的，本文建立了跳一扩散模型下的均值．方差投资选择问题，利用动态规划原理和凸分析得到了最优投资策略和有效边界的解析表达式。本文得到的最优投资策略和有效边界均是在不允许卖空限制下的，通过数值例子分析了交易限制对投资策略和有效边界的影响。
英文摘要：
Mean-variance portfolio selection problem is studied under continuous models in general. This paper studies mean-variance selection problem under jump-diffusion models. Dynamic programming and convex analysis are used to solve this problem. The expressions of the optimal strategies and the efficient frontier in this paper are derived explicitly under no-shorting constraints. The affections of the constraints on optimal strategies and the efficient frontier are analyzed by numerical examples.
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