解决了具有不确定收益的投资组合问题.从一个新的视角给出了不确定投资组合的风险定义,在此基础上,提出了新的投资组合优化模型,并设计出新的混合智能算法来解决这一新的优化问题.在新的算法中,99方法被用来计算期望值和机会值,与之前的算法相比,大大减少了计算的工作量,加快了求解过程.最后,提出一个数值例子来验证新的优化模型和所提算法的可行性和正确性.%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.
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