中文摘要：

利用不确定理论，考虑带有风险指标约束的投资组合模型，提出一种新的投资组合选择模型，其中的证券收益率被认为是不确定的变量，它既不是随机的，也不是模糊的。为有效分析所提出的模型，将原来的问题转化为一个确定的等价线性规划模型。在进行算例分析时，选择一些特殊的不确定性变量，如线性不确定变量，Zigzag不确定变量和正态不确定变量。结合灵敏度分析，说明方法的可行性和有效性。

英文摘要：

Consider the investment portfolio model with risk index constraints and provide a new invest- ment portfolio selection model, where securities are believed to be uncertain variables which are neither random nor fuzzy. And to give the effective solution of the proposed model, the original problem is con- verted into an equivalent linear programming model. In the numerical example, some special uncertain variables, such as linear uncertain variable, zigzag uncertain variable and normal variable are selected, and the feasibility and effectiveness of the proposed method are illustrated by the sensitivity analysis.