Bell

02-22-2008, 05:23 PM

It seems to me that there is a mistake in the book. On page 126, the expected return on assets in excess of the return of liabilities expression misses a minus 1.

Apparently Goldfarb catches that on Page 423.

What is the official SOA formula for E(Rx)?? Can someone look up their formula sheet and share this with me?

I have done the maths and it seems that Goldfarb is right and Litterman is wrong. But I care only about giving to the SOA what they want.

Can someone help??

Apparently Goldfarb catches that on Page 423.

What is the official SOA formula for E(Rx)?? Can someone look up their formula sheet and share this with me?

I have done the maths and it seems that Goldfarb is right and Litterman is wrong. But I care only about giving to the SOA what they want.

Can someone help??