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.
|ジャーナル||Journal of Advanced Computational Intelligence and Intelligent Informatics|
|出版ステータス||Published - 2013 3月|
ASJC Scopus subject areas
- コンピュータ ビジョンおよびパターン認識