Abstarct: This paper discusses the uncertain portfolio selection problem when security returns are hard to be well reflected by historical data. In the paper, the target semivariance is ‎introduced for uncertain variable. A mean- target semivariance model is Proposed for uncertain portfolio selection, in which the divergence degree of asset ‎portfolio, the risk of the portfolio and investment return are measured by using the ‎Shannon's entropy, target semivariance and expected value, respectively.