中文摘要：

提出了离散近似迭代方法，并用该方法求解具有交易成本和交易量限制的多阶段均值-方差（MV）投资组合模型．离散近似迭代方法的基本思路为：首先，将连续型状态变量离散化，根据网络图的构造方法将上述模型转化多阶段赋权有向图；其次，运用嘉量原理求出起点至终点的最长路程，即获得模型的一个可行解；最后，以该可行解为基础，继续迭代直到前后两个可行解非常接近．还证明了该方法的收敛性和复杂性．

英文摘要：

The paper proposes the discrete approximate iteration method, and uses it to solve the multiperiod mean-variance portfolio selection model with the transaction costs and the constraints on trade volumes. Firstly, according to the network method, discretizes the state variables and transforms the model into multiperiod weighted digraph; Secondly, uses Jarmetric principle to solve the maximal path that is the admissible solution; At last, continues iterating until the two admissible solution is near based on the admissible solution. The paper also proves the convergence and complex of the method.