A fuzzy multifactor asset pricing model

This paper introduces a new approach of multifactor asset pricing model estimation. This approach assumes that the monthly returns of financial assets are fuzzy random variables and estimates the multifactor asset pricing model as a fuzzy linear model. The fuzzy random representations allows us to i...

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Detalles Bibliográficos
Autores principales: Mbairadjim Moussa, Alfred, Sadefo Kamdem, Jules
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
S.I. : Risk Management Decisions and Value under Uncertainty
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8391009/
https://www.ncbi.nlm.nih.gov/pubmed/34465935
http://dx.doi.org/10.1007/s10479-021-04228-4

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8391009/
https://www.ncbi.nlm.nih.gov/pubmed/34465935
http://dx.doi.org/10.1007/s10479-021-04228-4

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