Nonlinear Systems Estimation: Asset Pricing Model Application
In this chapter we consider the application of Mathematica in the context of estimating a simultaneous system of nonlinear equations. The particular application involves the estimation of asset pricing models. This subject is a staple of the financial economics literature. The objective is not to show how Mathematica can be used to solve problems of this type. Indeed, the program is not well suited to this kind of large scale numerical optimization. Rather, the intent is to show how Mathematica can be used in conjunction with more specialized software products for this purpose.
KeywordsRisk Premium Capital Asset Price Model Asset Price Model Spelling Error Arbitrage Price Theory
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