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View Full Version : Modern Inv. mgmnet: Litterman

Bell
02-22-2008, 04:23 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??
Car'a'carn
02-22-2008, 06:01 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??

E[Rx] is not in the formulae sheet. I am sure you would be OK on the exam, provided you give them a reasonable explanation.
Bell
02-22-2008, 06:47 PM
E[Rx] is not in the formulae sheet. I am sure you would be OK on the exam, provided you give them a reasonable explanation.

Thanks.
Will Durant
02-24-2008, 10:45 AM
Great catch. Thanks!
Will Durant
02-24-2008, 04:50 PM
Who edits this crap?

I was going to start another thread, but I will just rant in here.

Page 504 of Litterman...

Assets under management in hedge funds is between $500 million and $600 million

:duh: