Multi-factor models for capital asset pricing in a fuzzy environment with empirical studies
by Jianhua Zeng, K.K. Lai, Shouyang Wang
International Journal of Risk Assessment and Management (IJRAM), Vol. 9, No. 1/2, 2008

Abstract: 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.

Online publication date: Mon, 07-Jul-2008

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