Abstract: Based on the conception of subset selection problem,the general processes for solving the problem are given.As the investment portfolio selection problem is of non-linear feature,an aimed model of the investment port folioselection problem is formulated.Therefore,an exterior point heuristic algorithm is constructed,the surrogate model aimed to deter mine original point and the advanced greedy search algorithm aimed to obtain optimal point are put forward,and the whole processes of the algorithm are addressed.

Key words: investment portfolio selection, non-linear, surrogate model, advanced greedy search algorithm