This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean‐variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors′ different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.
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