| Article ID: | iaor200968953 |
| Country: | United Kingdom |
| Volume: | 9 |
| Issue: | 12 |
| Start Page Number: | 148 |
| End Page Number: | 159 |
| Publication Date: | Jul 2008 |
| Journal: | International Journal of Risk Assessment and Management |
| Authors: | Wang Shouyang, Zeng Jianhua, Lai K K |
| Keywords: | fuzzy sets |
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.