Dynamic Optimization of Investment Portfolio under Liquidity with Benchmark Process

Investors are looking to choose the optimal combination of assets and allocate their wealth among them in such a way that they can achieve the goal of investing (increasing the revenue that can be seized in future periods). The main issue in this study, considering the conditions of high liquidity or low liquidity of companies' stocks and portfolio selection models, is the use of a new tool to select investment portfolio. The statistical sample for 27 companies active in the time domain from the beginning of April 2014 to March 2017 has been considered. The use of asset liquidity index to optimize portfolios using and benchmarking process has made a significant difference in portfolio weights, yields and risk compared to the Markowitz model. Also, the results of calculating the trainer criterion showed that the optimization model obtained from the benchmarking process of the value function has a higher performance than the portfolios obtained from the Markowitz model. .