a b s t r a c tIn this paper, we introduce the possibilistic mean value and variance of continuous distribution, rather than probability distributions. We propose a multi-objective Portfolio based model and added another entropy objective function to generate a well diversified asset portfolio within optimal asset allocation. For quantifying any potential return and risk, portfolio liquidity is taken into account and a multi-objective non-linear programming model for portfolio rebalancing with transaction cost is proposed. The models are illustrated with numerical examples.

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This paper deals with a new notion called fuzzy α-cut and its properties. A notion called localic frame is also introduced. Algebraic structures arising out of the family of fuzzy α-cuts have been investigated. It will be seen that this family forms a localic frame. Some significance and usefulness of fuzzy α-cuts are discussed.