A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint

Yunyun Sui, Jiangshan Hu and Fang Ma

Complexity, 2020, vol. 2020, 1-10

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.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:3703017

DOI: 10.1155/2020/3703017

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