Equilibrium Pricing Extending the Mean-Variance Theory Using Weighted Possibilistic Mean of Investor’s Subjectivity
Graduate School of Information Science and Technology, Osaka University, 2-1 Yamadaoka, Suita, Osaka 565-0871, Japan
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.
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