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

Takashi Hasuike

doi:10.1109/FUZZY.2010.5584743

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

Takashi Hasuike

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	2010 IEEE World Congress on Computational Intelligence, WCCI 2010
DOIs	https://doi.org/10.1109/FUZZY.2010.5584743
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

Other

Other	2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
Country	Spain
City	Barcelona
Period	10/7/18 → 10/7/23

ASJC Scopus subject areas

Artificial Intelligence
Computational Theory and Mathematics

Access to Document

10.1109/FUZZY.2010.5584743

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Cite this

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, 2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010, Barcelona, Spain, 10/7/18. https://doi.org/10.1109/FUZZY.2010.5584743

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