A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint
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 possi...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2020/3703017 |
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| _version_ | 1832568558198980608 |
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| author | Yunyun Sui Jiangshan Hu Fang Ma |
| author_facet | Yunyun Sui Jiangshan Hu Fang Ma |
| author_sort | Yunyun Sui |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-35498a52f1a7465a8b8c7b68fde203f0 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-35498a52f1a7465a8b8c7b68fde203f02025-02-03T00:58:44ZengWileyComplexity1076-27871099-05262020-01-01202010.1155/2020/37030173703017A Possibilistic Portfolio Model with Fuzzy Liquidity ConstraintYunyun Sui0Jiangshan Hu1Fang Ma2School of Mathematics and Information Science, Weifang University, Weifang 261061, ChinaSchool of Mathematics and Information Science, Weifang University, Weifang 261061, ChinaSchool of Science, Shenyang University of Technology, Shenyang 110023, ChinaInvestors 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.http://dx.doi.org/10.1155/2020/3703017 |
| spellingShingle | Yunyun Sui Jiangshan Hu Fang Ma A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint Complexity |
| title | A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint |
| title_full | A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint |
| title_fullStr | A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint |
| title_full_unstemmed | A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint |
| title_short | A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint |
| title_sort | possibilistic portfolio model with fuzzy liquidity constraint |
| url | http://dx.doi.org/10.1155/2020/3703017 |
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