Research on New Optimal Portfolio Selection Model with Uncertain Returns
具有不确定收益的新的投资组合优化模型的研究

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.