Constrained maximization problem(equity premium puzzle)

Question

Haley 2012-11-26

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/54770-constrained-maximization-problem-equity-premium-puzzle

I want to maximize

EP =

43/200*(527/500*(-100+43*beta*(491/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))-30039/500*beta^2*(491/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha))+527/500)/((-100+43*beta*(491/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))-57*beta^2*(491/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha)))+57/200*(-27987/500*beta^2*(527/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))+491/500*(-100+43*beta*(527/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha))+491/500)/((-100+43*beta*(491/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))-57*beta^2*(491/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha)))+57/200*(527/500*(-100+43*beta*(491/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))-30039/500*beta^2*(491/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha))+527/500)/(-57*beta^2*(527/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))+(-100+43*beta*(527/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha)))+43/200*(-27987/500*beta^2*(527/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))+491/500*(-100+43*beta*(527/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha))+491/500)/(-57*beta^2*(527/500)^(1-alpha)/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*(43/100*(527/500)^(1-alpha)+57/100*(491/500)^(1-alpha))+(-100+43*beta*(527/500)^(1-alpha))/(-100+43*beta*(491/500)^(1-alpha)+43*beta*(527/500)^(1-alpha)+14*beta^2*(491/500)^(1-alpha)*(527/500)^(1-alpha))*beta*(57/100*(527/500)^(1-alpha)+43/100*(491/500)^(1-alpha)))-1/2/beta/(43/100*(527/500)^(-alpha)+57/100*(491/500)^(-alpha))-1/2/beta/(57/100*(527/500)^(-alpha)+43/100*(491/500)^(-alpha))

(It was calculated by matlab with syms function but I know it's too long)

I want to maximize ep when 0<=alpha<=10 and 1<=beta<=2

I tried to use

x0=[1,1]; [x,fval]=fmincon('equity_premium',x0,[],[],[],[],[0;1],[10;2])

and it says "FMINCON cannot continue because user supplied objective function failed with the following error: Undefined function or method 'equity_premium' for input arguments of type 'double'.

I don't understand the error message and please tell me what to do. Thanks.