A Fuzzy Portfolio Model With Background Risk and Liquidity Considered

SONG Huihui; LONG Xianjun; HE Guang; PENG Zaiyun

doi:10.21656/1000-0887.400298

Volume 42 Issue 2

Feb. 2021

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SONG Huihui, LONG Xianjun, HE Guang, PENG Zaiyun. A Fuzzy Portfolio Model With Background Risk and Liquidity Considered[J]. Applied Mathematics and Mechanics, 2021, 42(2): 212-220. doi: 10.21656/1000-0887.400298

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A Fuzzy Portfolio Model With Background Risk and Liquidity Considered

doi: 10.21656/1000-0887.400298

¹School of Management Science and Engineering,Chongqing Technology and Business University, Chongqing 400067, P.R.China;²College of Mathematics and Statistics, Chongqing Technology and Business University,Chongqing 400067, P.R.China;

Funds: The National Natural Science Foundation of China（11471059）

Received Date: 2019-10-12
Rev Recd Date: 2020-12-20
Publish Date: 2021-02-01

Abstract

Abstract

With the 2nd moment of the investment return as the risk measurement function, a fuzzy portfolio model with the background risk and liquidity considered was established. The 2nd moment of the investment return was minimized under the constraint conditions satisfying the preset return rate, the average level of turnover probability and the investment proportion of risk assets. Finally, the historical data of some stocks in the 100 indices were selected for numerical analysis, and the model was proved to conform to the law of ‘high return and high risk’. The results show that, the model is suitable for the actual financial market. The 2nd moment instead of the variance as the risk measurement function, overcomes the complexity of variance calculation and simplifies the problem of fuzzy portfolio solution.
- background risk,
- liquidity,
- turnover rate,
- 2nd moment

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References(17)

References

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