The multi-factor model for capital asset pricing in fuzzy environment and its empirical investigations

摘要

In this paper, we incorporate fuzzy possibility regression theory into the multi-factormodel for asset pricing ，and obtain three possibility multi-factor models corresponding to threedifferent possibility distributions. Three theorems are proposed to describe the relation betweencoefficients with possibility distribution and the possibility linear function. Further empiricalinvestigations are made to test our models.