Equilibrium pricing extending the mean-variance theory usingweighted possibilistic mean of investor's subjectivity

This paper proposes an extended analytical approach to developing an equilibrium pricing vector with various types of investor's subjectivity based on extended Mean-Variance (MV) theory. Weighted fuzzy mean and variance are introduced in order to represent investor's subjectivity numerically. Similar to the traditional MV-based equilibrium approach, the equilibrium pricing vector of the proposed model is analytically obtained in mathematical programming. A macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with subjectivity, is also constructed.