In the uncertain financial markets, because of the difference in all kinds of the risk of financial products, how to make selection and portfolio of the products under the condition of the considering of both benefits and risks becomes an important issue of investment portfolios. Based on the combination of robust optimization of meanabsolute deviation model and the real situation of Chinese securities market, the simplified model is proposed, and through the tool of MATLAB, a new solving method for the linear model for the optimal solution is advanced. At the same time, the optimality solution to the robust model of meanabsolute deviation model is compared with other portfolio models to prove that this model is better than the selected comparative models.