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

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.