System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
we use the CAPM to estimate the risk adjusted returns on M assets, say all 500 stocks in the S&P index, we would end up a system of 500 regression equations as follows: A system of regression equations for the capital asset pricing model (Image by Author) Notice that for each asset i=1,2,…M, the