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. Copyright © 2008 Inderscience Enterprises Ltd.
| Original language | English |
|---|---|
| Pages (from-to) | 148-159 |
| Journal | International Journal of Risk Assessment and Management |
| Volume | 9 |
| Issue number | 1-2 |
| DOIs | |
| Publication status | Published - Jul 2008 |
Research Keywords
- Asset pricing
- Fuzzy set
- Possibility theory
- Regression model
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