Fuzzy Portfolio Optimization Model with Liquidity
Chen Nin · Guangxi kexue · 2015
This paper builds a multi-objective functions model with possibilistic mean,possibilistic covariance and liquidity based on the negative correlation between stocks' liquidity and their returns.Lagrange multiplier method is used to solve the problem after transform of the multi-objective functions model into a single objective function model,and numerical experiment is given at last.