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
Citation: 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

A Fuzzy Portfolio Model With Background Risk and Liquidity Considered

doi: 10.21656/1000-0887.400298
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
  • 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.
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