A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint
Joint Authors
Sui, Yunyun
Hu, Jiangshan
Ma, Fang
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-07-29
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. 2020. A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint. Complexity،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1141631
Modern Language Association (MLA)
Sui, Yunyun…[et al.]. A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint. Complexity No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1141631
American Medical Association (AMA)
Sui, Yunyun& Hu, Jiangshan& Ma, Fang. A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint. Complexity. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1141631
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1141631