关键词: 投资组合，风险，不确定分布，99方法，混合智能算法，优化模型

Abstract: This paper solved the portfolio selection problem whose security returns with uncertainty. Utilizing a new perspective, this paper gave a new definition of risk for uncertain portfolio selection. A new optimal portfolio selection model was proposed based on this new definition of risk. A new hybrid intelligent algorithm was designed for solving the new optimization problem In the proposed new algorithm, 99 method was employed to calculate the expected value and the chance value. It greatly reduces the computational work and speeds up the process of solution compared with hybrid simulation used in our previous algorithm. A numerical example was also presented to illustrate feasibility and validity of the new modeling idea and the proposed new algorithm.

Key words: Portfolio selection, Risk, Uncertainty distribution, 99 method, Hybrid intelligent algorithm, Optimal model