Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

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 languageEnglish
Title of host publication2010 IEEE World Congress on Computational Intelligence, WCCI 2010
DOIs
Publication statusPublished - 2010
Externally publishedYes
Event2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 - Barcelona, Spain
Duration: 2010 Jul 182010 Jul 23

Other

Other2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
CountrySpain
CityBarcelona
Period10/7/1810/7/23

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Financial markets

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 proceedingConference contribution

Hasuike, T 2010, Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity. in 2010 IEEE World Congress on Computational Intelligence, WCCI 2010., 5584743, 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010, Barcelona, Spain, 10/7/18. https://doi.org/10.1109/FUZZY.2010.5584743
Hasuike, Takashi. / Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity. 2010 IEEE World Congress on Computational Intelligence, WCCI 2010. 2010.
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