This paper develops a λ mean‐hybrid entropy model to deal with portfolio selection problem with both random uncertainty and fuzzy uncertainty. Solving this model provides the investor a tradeoff frontier between security return and risk. We model the security return as a triangular fuzzy random variable, where the investor’s individual preference is reflected by the pessimistic‐optimistic parameter λ. We measure the security risk using the hybrid entropy in this model. Algorithm is developed to solve this bi‐objective portfolio selection model. Beside, a numerical example is also presented to illustrate this approach.
