Hi Carol,
Should the last row of the Hessian on p.30 be 1,1,0 instead of 1,1,0 ?
Uday
Errata
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 Posts: 815
 Joined: Sun Sep 28, 2008 10:30 pm
Re: Errata
Well spotted re both typos ( second bullet section I.1.2.1 and line 2 of p 16) you are correct and I will change the text. MANY THANKS!!

 Posts: 6
 Joined: Tue Jun 05, 2012 10:13 pm
Re: Errata
Hi Carol,
page 109, equation I.3.81: is G(y) instead of G(x)?
Thank you,
Marco
page 109, equation I.3.81: is G(y) instead of G(x)?
Thank you,
Marco

 Posts: 6
 Joined: Tue Jun 05, 2012 10:13 pm
Re: Errata
Hi again Carol,
I don't know if it was already spotted:
page 149, Table I.4.2: opposite signs for predicted Y and Y in the residuals' formula (as in equation I.4.3)
Obviously the resulting s^2 is the same, since it would change only the signs of the 3rd row of the table :)
Marco
I don't know if it was already spotted:
page 149, Table I.4.2: opposite signs for predicted Y and Y in the residuals' formula (as in equation I.4.3)
Obviously the resulting s^2 is the same, since it would change only the signs of the 3rd row of the table :)
Marco

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 Joined: Sun Sep 28, 2008 10:30 pm
Re: Errata
Yes, you are right about the difference between the definition of residual here and the definition I gave in (I.4.3). Of course, it makes no difference, but I should make the change for consistency. Will do! Thanks, Carol

 Posts: 6
 Joined: Tue Jun 05, 2012 10:13 pm
Re: Errata
Hi Carol,
I'll go straight to the point(s):
p. 229, solution to example I.6.2: CE(P)^2 = 27.51, CE(Q)^2 = 19.99;
footnote (2): If W_0 = 100 then CE(P) = 52.45 and CE(Q) = 44.71
p. 236, I.6.23: it looks like you are using a first order approximation of ln(1 + x)
p. 239, I.6.26:
 square root of V( R ) instead of simply V( R );
 there is a 'weight swap' in the calculation example (should be 0.75 * 20% +/ 0.25 * 40%, since you said: "...the returns have volatilities 20% and 40% respectively and 75% of the funds are invested in the higher volatility asset.").
Thanks for having written such a relevant and practical volume and thanks for this forum too, which i think is as useful as the book itself.
Marco
I'll go straight to the point(s):
p. 229, solution to example I.6.2: CE(P)^2 = 27.51, CE(Q)^2 = 19.99;
footnote (2): If W_0 = 100 then CE(P) = 52.45 and CE(Q) = 44.71
p. 236, I.6.23: it looks like you are using a first order approximation of ln(1 + x)
p. 239, I.6.26:
 square root of V( R ) instead of simply V( R );
 there is a 'weight swap' in the calculation example (should be 0.75 * 20% +/ 0.25 * 40%, since you said: "...the returns have volatilities 20% and 40% respectively and 75% of the funds are invested in the higher volatility asset.").
Thanks for having written such a relevant and practical volume and thanks for this forum too, which i think is as useful as the book itself.
Marco

 Posts: 815
 Joined: Sun Sep 28, 2008 10:30 pm
Re: Errata
Dear Marco,
I would like to thank you also, for taking such meticulous care to wring out the (hopefully) last few typos in the books.
Your first and third errata are, as before, correct. Many thanks, these have been added to the list for the next printing. The comment about using 1st order rather than 2nd order approximation is not quite correct. I agree the final formula looks close to the first expansion but its actually half a page of calcs because, as well a sign change on moments of order 2 and above, the kurtosis in the first expansion is replaced by the excess kurtosis in the final formula.
Many thanks, again, Carol
I would like to thank you also, for taking such meticulous care to wring out the (hopefully) last few typos in the books.
Your first and third errata are, as before, correct. Many thanks, these have been added to the list for the next printing. The comment about using 1st order rather than 2nd order approximation is not quite correct. I agree the final formula looks close to the first expansion but its actually half a page of calcs because, as well a sign change on moments of order 2 and above, the kurtosis in the first expansion is replaced by the excess kurtosis in the final formula.
Many thanks, again, Carol
Re: Errata
Hi Carol
Spotted one typo. On page 98, Generalized t distribution.... X=mu+sigma*T. It should be X=mu+sqrt(beta)*T.
Another one was already mentioned in the earlier post but not yet incorporated in the updated correction list. It is with equation 1.3.81. Should be F(yx)=F(x,y)/H(x) and F(xy)=F(x,y)/G(y).
Joy
Spotted one typo. On page 98, Generalized t distribution.... X=mu+sigma*T. It should be X=mu+sqrt(beta)*T.
Another one was already mentioned in the earlier post but not yet incorporated in the updated correction list. It is with equation 1.3.81. Should be F(yx)=F(x,y)/H(x) and F(xy)=F(x,y)/G(y).
Joy

 Posts: 815
 Joined: Sun Sep 28, 2008 10:30 pm
Re: Errata
Many thanks Joy, I have updated the errata. Well spotted.
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