Abstract: Investor’s decision is influenced by investor’s attitude. Considering investor’s attitude to the stock market, the return is regarded as a fuzzy variable, constructing a coherent mean-CVaR credibilistic portfolio model with the constraints of V-type transaction cost, borrowing constraints. The model is a linear programming problem which can be solved by using the pivoting algorithm of linear programming. Finally, Fama and French factor models are used to select sample stocks from Shanghai and Shenzhen A-share market to construct the portfolio. Both in sample test and out of sample test show that, investor’s different attitude towards the stock market affects the performance of portfolio significantly. Therefore, it is helpful for individual and institutional investors to make reasonable investment decisions by correctly evaluating investor’s attitudes towards the stock market.

Key words: credibilistic measure; coherent fuzzy number; mean-CVaR; factors model; sharpe ratio; sortino ratio