Equilibrium pricing extending the mean-variance theory usingweighted possibilistic mean of investor's subjectivity

Research output: Contribution to journalArticle

Abstract

This paper proposes an extended analytical approach to developing an equilibrium pricing vector with various types of investor's subjectivity based on extended Mean-Variance (MV) theory. Weighted fuzzy mean and variance are introduced in order to represent investor's subjectivity numerically. Similar to the traditional MV-based equilibrium approach, the equilibrium pricing vector of the proposed model is analytically obtained in mathematical programming. A macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with subjectivity, is also constructed.

Original languageEnglish
Pages (from-to)237-243
Number of pages7
JournalJournal of Advanced Computational Intelligence and Intelligent Informatics
Volume17
Issue number2
Publication statusPublished - 2013 Mar
Externally publishedYes

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Mathematical programming
Costs
Financial markets

Keywords

  • Equilibrium pricing
  • Investor's subjectivity
  • Macroeconomic index
  • Mean-variance model

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computer Vision and Pattern Recognition
  • Human-Computer Interaction

Cite this

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abstract = "This paper proposes an extended analytical approach to developing an equilibrium pricing vector with various types of investor's subjectivity based on extended Mean-Variance (MV) theory. Weighted fuzzy mean and variance are introduced in order to represent investor's subjectivity numerically. Similar to the traditional MV-based equilibrium approach, the equilibrium pricing vector of the proposed model is analytically obtained in mathematical programming. A macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with subjectivity, is also constructed.",
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