TY - GEN
T1 - Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity
AU - Hasuike, Takashi
PY - 2010/11/25
Y1 - 2010/11/25
N2 - This paper considers a new equilibrium pricing vector with various types of investor's subjectivity based on the standard Mean-Variance theory. In order to present each investor's subjectivity, the fuzzy theory is introduced. In a way similar to the traditional MV-based equilibrium approach, the analytical equilibrium pricing vector is obtained using the degree of credibility considering credibility measure and fuzzy goal. Furthermore, a macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with the subjectivity, is constructed.
AB - This paper considers a new equilibrium pricing vector with various types of investor's subjectivity based on the standard Mean-Variance theory. In order to present each investor's subjectivity, the fuzzy theory is introduced. In a way similar to the traditional MV-based equilibrium approach, the analytical equilibrium pricing vector is obtained using the degree of credibility considering credibility measure and fuzzy goal. Furthermore, a macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with the subjectivity, is constructed.
UR - http://www.scopus.com/inward/record.url?scp=78549275113&partnerID=8YFLogxK
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U2 - 10.1109/FUZZY.2010.5584743
DO - 10.1109/FUZZY.2010.5584743
M3 - Conference contribution
AN - SCOPUS:78549275113
SN - 9781424469208
T3 - 2010 IEEE World Congress on Computational Intelligence, WCCI 2010
BT - 2010 IEEE World Congress on Computational Intelligence, WCCI 2010
T2 - 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
Y2 - 18 July 2010 through 23 July 2010
ER -