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

研究成果: Conference contribution

2 引用 (Scopus)

抜粋

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.

元の言語English
ホスト出版物のタイトル2010 IEEE World Congress on Computational Intelligence, WCCI 2010
DOI
出版物ステータスPublished - 2010 11 25
イベント2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 - Barcelona, Spain
継続期間: 2010 7 182010 7 23

出版物シリーズ

名前2010 IEEE World Congress on Computational Intelligence, WCCI 2010

Other

Other2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
Spain
Barcelona
期間10/7/1810/7/23

    フィンガープリント

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computational Theory and Mathematics

これを引用

Hasuike, T. (2010). Equilibrium pricing vector based on the hybrid mean-variance theory with investor's subjectivity. : 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