Portfolio optimization strategy under fuzzy random environment with investor sentiment

It is impossible for any investor to estimate future returns correctly by historical data of assets. So a forecasting methods by experts´ judgement based on historical are given to estimate the future returns of assets. Taking into account that investor sentiment has an important influence on stock price, a model for portfolio selection with investors sentiment is proposed under fuzzy and random hybrid uncertain environment, in which the future returns are regarded as fuzzy random variables. Then we define (λ;γ)-expectation variance effective investment combination and discuss their efficient frontiers. Finally, a numerical analysis is investigated to expound the new model. The results show that the proposed model can provide more flexible trading strategies.