A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint. (29th July 2020)

• Record Type: Journal Article
• Authors: Sui, Yunyun; Hu, Jiangshan; Ma, Fang
• Other Names: Yang Zhile Academic Editor.
• Is Part Of: Complexity. Volume 2020(2020)
• Publication Date: 2020-07-29
• Subjects: Chaotic behavior in systems -- Periodicals; Complexity (Philosophy) -- Periodicals; 003
• DOI: 10.1155/2020/3703017
• Languages: English
• ISSNs: 1076-2787

Abstract

Abstract : Investors are concerned about the reliability and safety of their capital, especially its liquidity, when investing. This paper sets up a possibilistic portfolio selection model with liquidity constraint. In this model, the asset return and liquidity are fuzzy variables which follow the normal possibility distributions. Liquidity is measured as the turnover rate of the asset. On the basis of possibility theory, we transform the model into a quadratic programming problem to obtain its solution. We illustrate that, in the process of investment, investors can make better use of capital by choosing their investment portfolios according to their expected return and asset liquidity.