Nonlinear Systems Estimation: Asset Pricing Model Application

Stephen J. Brown

Chapter 13 in Economic and Financial Modeling with Mathematica®, 1993, pp 286-299 from Springer

Abstract: 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 (search for similar items in EconPapers)
Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4757-2281-9_13

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DOI: 10.1007/978-1-4757-2281-9_13

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