Fuzzy turnover rate chance constraints portfolio model

Barak, Sasan (2013) Fuzzy turnover rate chance constraints portfolio model. European Journal of Operational Research, 228 (1). pp. 141-147. ISSN 0377-2217

Full text not available from this repository.

Abstract

One concern of many investors is to own the assets which can be liquidated easily. Thus, in this paper, we incorporate portfolio liquidity in our proposed model. Liquidity is measured by an index called turnover rate. Since the return of an asset is uncertain, we present it as a trapezoidal fuzzy number and its turnover rate is measured by fuzzy credibility theory. The desired portfolio turnover rate is controlled through a fuzzy chance constraint. Furthermore, to manage the portfolios with asymmetric investment return, other than mean and variance, we also utilize the third central moment, the skewness of portfolio return. In fact, we propose a fuzzy portfolio mean–variance–skewness model with cardinality constraint which combines assets limitations with liquidity requirement. To solve the model, we also develop a hybrid algorithm which is the combination of cardinality constraint, genetic algorithm, and fuzzy simulation, called FCTPM.

Item Type:
Journal Article
Journal or Publication Title:
European Journal of Operational Research
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1802
Subjects:
ID Code:
130921
Deposited By:
Deposited On:
29 Jan 2019 16:35
Refereed?:
Yes
Published?:
Published
Last Modified:
09 Sep 2020 05:41