Abstract
This paper proposes a new approach to develop an equilibrium pricing vector with various types of investor's subjectivity based on the extended Mean-Variance (MV) theory. In order to present each investor's subjectivity, the weighted fuzzy mean returns are introduced. In a way similar to the traditional MV-based equilibrium approach, the equilibrium pricing vector is analytically obtained using mathematical programming. Furthermore, a macroeconomic index based on risky assets, which provides information with respect to the soundness of the capital market with the subjectivity, is constructed.
