### 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 language | English |
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Pages (from-to) | 237-243 |

Number of pages | 7 |

Journal | Journal of Advanced Computational Intelligence and Intelligent Informatics |

Volume | 17 |

Issue number | 2 |

Publication status | Published - 2013 Mar |

Externally published | Yes |

### Fingerprint

### 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

**Equilibrium pricing extending the mean-variance theory usingweighted possibilistic mean of investor's subjectivity.** / Hasuike, Takashi.

Research output: Contribution to journal › Article

}

TY - JOUR

T1 - Equilibrium pricing extending the mean-variance theory usingweighted possibilistic mean of investor's subjectivity

AU - Hasuike, Takashi

PY - 2013/3

Y1 - 2013/3

N2 - 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.

AB - 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.

KW - Equilibrium pricing

KW - Investor's subjectivity

KW - Macroeconomic index

KW - Mean-variance model

UR - http://www.scopus.com/inward/record.url?scp=84879379180&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84879379180&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:84879379180

VL - 17

SP - 237

EP - 243

JO - Journal of Advanced Computational Intelligence and Intelligent Informatics

JF - Journal of Advanced Computational Intelligence and Intelligent Informatics

SN - 1343-0130

IS - 2

ER -