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ErLe ErUe 1 DΕ ΕrUe rf
U Y0 s E U sR R
That is, the right-most R lies within the domain of the expectations operator.
Replace Y with Y
4. Page 152, Box 6.1, final line: Add the word “the”
Also, 4 lines below the Box 6.1, the first equality should read:
Should be an N, not a 1
n 1 rP n 1 w1r1 ... wN rN . . .
5. Page 153:
Subscript is P, not R
J
M w j jM j
j 1
j, not M
rj , t 1 CF j ,t 1 p j ,t p j ,t
,r and
where j denotes SD CF j ,t m
j ,m denotes corr CF
,r .
j ,t m
CF
cov j ,t 1 ,rm
p j ,t
Alternatively, since j , then
2
m
j=
1 cov CFj ,t 1 ,rm .
p j ,t m2
Thus,
cov CF
j ,t 1 ,rm j p j ,t m .
2
With this substitution, the fourth equation is correct, but defines the price in terms of itself.
E CF j ,t 1 p j ,t j E rm rf
p j ,t
1 rf 1 rf
j E rm rf E CF j ,t 1
p j ,t 1
1 rf 1 rf
1 rf j E rm rf E CF j ,t 1
p j ,t
1 rf 1 rf
E CF j ,t 1
p j ,t
1 rf j , E rm rf
12. Page 223, three lines from the bottom: Add parentheses
around A/C
N N
E (r )
i 1
i i
i 1
i
A
C
A
C
Should be σ not α
16. Page 241, the 2nd line of formula
p2 2 Μ2 1 2 2j 2 1 jΜ
17. Page 276, agent problem description two thirds of way down the page; the first constraint
should read:
Remove the +1
ct qte zt 1 ztYt qte zt
( b j1 P1 b j 2 P2 )( rM rf )
bj , not βj
f f 1 , f 2 , f 3 , . . . f K
Ei f 0
N
wi i 0 wT .
i
w should be bold
e
1 1/ 2 2
qt Yt
1 e
1 1/ 2 2
minus sign, not plus;
delta, not beta
33. Page 479, equation 16.6
Yt 1
Yt