Portfolio selection model with transaction costs based on fuzzy information

In securities markets, the expected rates of security returns are difficult to estimate precisely due to many uncertainties. In this paper, the author deals with the returns on securities in fuzzy terms. We use fuzzy number to deal with the uncertainty. Considering the three factors (return, risk and liquidity), we obtain a portfolio selection model based on the weighted possibilistic mean and variance of fuzzy numbers. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.