A Portfolio Optimization Model with Fuzzy Liquidity Constrains

Usually, expected return and risk are two fundamental factors which investors consider. In some cases, investors may consider other factors such as liquidity. The turnover rates of securities can be used to measure their liquidity. Considering trapezoidal possibility distribution as the possibility distribution of the turnover rates on the securities, we propose an optimization model for portfolio selection. A numerical example is given to illustrate the behavior of the proposed portfolio selection model.