Fuzzy turnover rate chance constraints portfolio model

► Developing a fuzzy portfolio mean-variance-skewness model for a practical portfolio selection. ► Incorporating portfolio liquidity in the proposed model. ► Presenting assets return by trapezoidal fuzzy numbers and their turnover rate by fuzzy credibility theory. ► Controlling the desired portfolio turnover rate by a fuzzy chance constraint. ► Utilizing the third central moment, skewness of portfolio return other than mean and variance.