Nonlinear Systems Estimation: Asset Pricing Model Application

  • Stephen J. Brown

Abstract

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.

Keywords

Risk Premium Capital Asset Price Model Asset Price Model Spelling Error Arbitrage Price Theory 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1993

Authors and Affiliations

  • Stephen J. Brown

There are no affiliations available

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