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 |
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| Title of host publication | 2010 IEEE World Congress on Computational Intelligence, WCCI 2010 |
| DOIs | |
| Publication status | Published - 2010 Nov 25 |
| Externally published | Yes |
| Event | 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 - Barcelona, Spain Duration: 2010 Jul 18 → 2010 Jul 23 |
Publication series
| Name | 2010 IEEE World Congress on Computational Intelligence, WCCI 2010 |
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Other
| Other | 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 |
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| Country | Spain |
| City | Barcelona |
| Period | 10/7/18 → 10/7/23 |
ASJC Scopus subject areas
- Artificial Intelligence
- Computational Theory and Mathematics
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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 IEEE World Congress on Computational Intelligence, WCCI 2010). https://doi.org/10.1109/FUZZY.2010.5584743