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Varto
03-10-2008, 03:02 PM
Efficient stochastic modeling utilizing representative scenarios: application to equity risks

Page 3 bottom, formula of D2. Isn't there a prime " ' " missing on one of the r risk parameters?

Varto

Varto
03-10-2008, 06:12 PM
I just got the JAM. Yes. The r in the denominator of the second multiplication is primed.

I guess my study note (original not copied) has a typo or someth'n!