A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint

Abstract

Investors are concerned about the reliability and safety of their capital, especially its liquidity, when investing. This paper sets up a possibilistic portfolio selection model with liquidity constraint. In this model, the asset return and liquidity are fuzzy variables which follow the normal possibility distributions. Liquidity is measured as the turnover rate of the asset. On the basis of possibility theory, we transform the model into a quadratic programming problem to obtain its solution. We illustrate that, in the process of investment, investors can make better use of capital by choosing their investment portfolios according to their expected return and asset liquidity.

Response to the Coronavirus Disease-2019 Pandemic: Lessons Learned from the Taiwan Model

“…"If patients were forced to be isolated, during this period, the government would pay for the food, lodging and medical care. So almost no one would avoid seeing the doctor because they can't pay for health care" said Yotaka (2020), as cited in Sui (2020). After isolation therapy, patients can be discharged only when they have negative RT-PCR results of SARS-CoV-2 for three times.…”

“…Moreover, the CECC "set up new production lines and dispatched soldiers to staff factories, significantly increasing production" (Sui, 2020). At the end of January 2020, Taiwan's daily mask production capacity was only 1.88 million pieces.…”

“…Only when information is available to the public would people entrust their lives in the hands of the government and learn medical knowledge and disease prevention techniques that are crucial to stopping the spread of the virus. When there is transparency, the people and the government can stand as one and live through the epidemic with less fear (Sui, 2020). To ensure that information is communicated in that manner, Taiwan employed various actions.…”

“…The CECC also partnered with various media platforms (social media apps, news channels, radio stations, etc.) to broadcast public service announcements on topics such as the correct hand-washing technique, the need for social distancing, the importance of wearing masks, and coughing etiquettes that can limit viral spreads (Sui, 2020). The people that were featured in these media ranged from doctors, scholars, Youtubers, or welcomed and influential celebrities.…”

A Portfolio Selection Model Based on the Interval Number

“…Possibility theory is an important theory of fuzzy sets that was first proposed by Zadeh [22] and developed by Dubois and Prade [23] (see [24][25][26][27], for more details). Portfolio models based on theory of possibility have been fruitful (see [28][29][30][31][32][33][34][35]). In these possibilistic portfolio selection models, it is assumed that the possibility distribution of asset return in the portfolio is known, but in reality, it is often not so.…”