This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by...

In this paper, we consider a multi-period fuzzy portfolio optimization problem with minimum transaction lots. Based on possibility theory, we formulate a mean-semivariance portfolio selection model with the objectives of maximizing the terminal wealth and minimizing the cumulative risk over the...