Pinar, M.Ç.2016-02-082016-02-0820132331934http://hdl.handle.net/11693/20729We give a closed-form solution to the single-period portfolio selection problem with a Value-at-Risk (VaR) constraint in the presence of a set of risky assets with multivariate normally distributed returns and the risk-less account, without short sales restrictions. The result allows to obtain a very simple, myopic dynamic portfolio policy in the multiple period version of the problem. We also consider mean-variance portfolios under a probabilistic chance (VaR) constraint and give an explicit solution. We use this solution to calculate explicitly the bonus of a portfolio manager to include a VaR constraint in his/her portfolio optimization, which we refer to as the price of a VaR constraint. © 2013 © 2013 Taylor & Francis.Englishdelegated portfolio managementdynamic portfolio selectionmean-variance efficient portfoliosprobabilistic chance constraintvalue-at-riskArticle10.1080/02331934.2013.854785