Abstract
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.
| Original language | English |
|---|---|
| Title of host publication | 2010 IEEE World Congress on Computational Intelligence, WCCI 2010 |
| DOIs | |
| Publication status | Published - 2010 |
| Externally published | Yes |
| Event | 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 - Barcelona, Spain Duration: 2010 Jul 18 → 2010 Jul 23 |
Other
| Other | 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 |
|---|---|
| Country | Spain |
| City | Barcelona |
| Period | 10/7/18 → 10/7/23 |
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ASJC Scopus subject areas
- Artificial Intelligence
- Computational Theory and Mathematics
Cite this
Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity. / Hasuike, Takashi.
2010 IEEE World Congress on Computational Intelligence, WCCI 2010. 2010. 5584743.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
}
TY - GEN
T1 - Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity
AU - Hasuike, Takashi
PY - 2010
Y1 - 2010
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
UR - http://www.scopus.com/inward/citedby.url?scp=78549275113&partnerID=8YFLogxK
U2 - 10.1109/FUZZY.2010.5584743
DO - 10.1109/FUZZY.2010.5584743
M3 - Conference contribution
SN - 9781424469208
BT - 2010 IEEE World Congress on Computational Intelligence, WCCI 2010
ER -