In this paper, we study a minimax problem for portfolio selection with transaction costs in the case of no short sales of assets and no borrowing or lending.

This model considers the transaction expenditure and whether to allow short sale or not.

In this paper, based on portfolio selection and Asset pricing Three-parameter Framework (Simaan(1993)), The author puts forward a new portfolio selection model with transaction cost and without short sale, In the end the author gives the algorithm of the new optimization problem.

Portfolio model of short selling with probability criterion;

Explicit formula for equilibrium price with short selling and necessary and sufficient condition for it;

The interval searching approach for solving portfolio frontier with no short selling;

Simulation study on short sales mechanism based on agent in China market;

Portfolio model under limited short sales;

This paper studies the structure of M-V portfolio efficient frontier with no short sales and its changes when the number of securities increases or decrease by k.

The short-selling permitted portfolio optimization under a minimax rule;

Optimal portfolios in a market without short-selling;

Based on Markowitz s classical Mean-Variance model,we discussed the portfolio optimization under short-selling and no short-selling,and analyzed portfolios containing risk-free asset and without risk-free asset by Matlab.