Under the assumption that the investor’s risk preference is stochastic and even fuzzy and utility function is of linear additivity , this paper establishes the method for determining the investment portfolio based on fuzzy stochastic risk preference. The method is very simple and concise when the utility function is of the form provided by Fabio Mercurio , because it only needs to solve inequalities and calculate integrals with one variable. It worth men2 tioning that the method established here is different from the classical ones because it is based on the main idea of SMAA (stochastic multi2objective acceptability analysis) proposed by Risto Lahdelma , et al .