An Evolutionary Algorithm for Multiobjective Fuzzy Portfolio Selection Models with Transaction Cost and Liquidity

Table 1

Sample statistics for the weekly returns on the assets (2012–2015) from historical data.

Returns	5th; percentile	40th; percentile	60th; percentile	95th; percentile
Asset 1	−0.0627	−0.0065	0.0188	0.0869
Asset 2	−0.0626	−0.0094	0.0077	0.1111
Asset 3	−0.0798	−0.0062	0.0219	0.0913
Asset 4	−0.0709	−0.0076	0.0154	0.0951
Asset 5	−0.0609	−0.0047	0.0144	0.0804
Asset 6	−0.0804	−0.0093	0.0189	0.1143
Asset 7	−0.0867	−0.0053	0.0180	0.0975
Asset 8	−0.0861	−0.0044	0.0228	0.0992
Asset 9	−0.0859	−0.0029	0.0271	0.1177
Asset 10	−0.0868	−0.0124	0.0199	0.1457
Asset 11	−0.0700	0.0063	0.0139	0.1215
Asset 12	−0.0571	−0.0060	0.01930	0.0939