Inderscience Publishers

Multi-factor models for capital asset pricing in a fuzzy environment with empirical studies

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In this paper, fuzzy possibility regression theory is incorporated into the multi-factor model for asset pricing and three possibility multi-factor models corresponding to three different possibility distributions are obtained. Three theorems are proposed to describe the relationship between coefficients with possibility distribution and the possibility linear function. Further empirical studies are conducted to test the models.

Keywords: asset pricing, fuzzy sets, fuzzy logic, possibility theory, regression models, multi-factor modelling, capital assets

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