Abstract: This paper discussed the portfolio selection problem under uncertain environment, using uncertain measure to define VaR and CVaR. VaR and CVaR were used to measure risk. An optimal model of portfolio selection based on VaR and CVaR was established, and the hybrid intelligence algorithm integrating genetic algorithm and 99-method was designed to solve the model. Finally, an numerical example was given to illustrate the feasibility and effectiveness of the model and the algorithm.

Key words: Portfolio selection, Uncertain measure, Hybrid intelligence algorithm, VaR, CVaR