A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint

被引：7
|
作者：
Sui, Yunyun [1 ]
Hu, Jiangshan [1 ]
Ma, Fang [2 ]
机构：
[1] Weifang Univ, Sch Math & Informat Sci, Weifang 261061, Peoples R China
[2] Shenyang Univ Technol, Sch Sci, Shenyang 110023, Peoples R China
来源：
COMPLEXITY | 2020年 / 2020卷
基金：
中国国家自然科学基金;
关键词：
CONDITIONAL VALUE; SELECTION MODEL; MEAN-VALUE; VARIANCE; RISK; UTILITY;
D O I：
10.1155/2020/3703017
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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.
引用
收藏
页数：10
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