JACIII Vol.17 No.2 pp. 237-243
doi: 10.20965/jaciii.2013.p0237


Equilibrium Pricing Extending the Mean-Variance Theory Using Weighted Possibilistic Mean of Investor’s Subjectivity

Takashi Hasuike

Graduate School of Information Science and Technology, Osaka University, 2-1 Yamadaoka, Suita, Osaka 565-0871, Japan

November 16, 2012
January 30, 2013
March 20, 2013
equilibrium pricing, mean-variance model, investor’s subjectivity, macroeconomic index
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.
Cite this article as:
T. Hasuike, “Equilibrium Pricing Extending the Mean-Variance Theory Using Weighted Possibilistic Mean of Investor’s Subjectivity,” J. Adv. Comput. Intell. Intell. Inform., Vol.17 No.2, pp. 237-243, 2013.
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