Interval-Valued Fuzzy Portfolio Decision Model with Transaction Cost and Liquidity

Considering transaction cost and liquidity, an interval-valued fuzzy portfolio decision model is constructed with the goals of maximizing possibilistic return and minimizing semi-absolute deviation risk of portfolio. Then, by introducing investor’s risk preference and satisfaction degree of liquidity interval, the constructed portfolio model is converted into a single-objective optimization model to solve the optimal portfolio strategy. Finally, the efficiency of the proposed model is empirically tested by using sample data of stocks listed on the Shenzhen Stock Exchange.