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

Authors: Jianhua Zeng, K.K. Lai, Shouyang Wang

Addresses: School of Economy and Management, Beijing University of Aeronautics and Astronautics, Beijing, 100083, China. ' Department of Management Sciences, City University of Hong Kong, Hong Kong; College of Business Administration, Hunan University, China. ' Institute of Systems Sciences, Academy of Mathematics and Systems Sciences, Chinese Academy of Science, Beijing, 100080, China

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.

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

DOI: 10.1504/IJRAM.2008.019318

International Journal of Risk Assessment and Management, 2008 Vol.9 No.1/2, pp.148 - 159

Published online: 07 Jul 2008 *

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