Alpay Kaya, CFA

La vérité existe. On n'invente que le mensonge. —Braque (Truth exists. One only invents falsehood.)

Errata: Leveraged ETFs

Page 94
Remove the subscript  \delta    from the last term in Eq. 4.17 so it reads  \beta \rho   .

LEGACY ERRATA (Does Not Affect Current Production)
Page 37
Remove is from the final complete sentence, which should read “. . . random variable with which it has an injective functional dependency.”

Page 44
Add chance to the third sentence, which should read “. . . and there is still a 50% chance of the output. . .”

Page 87
The right-hand side of Eq. 4.14c should read as follows:  \exp \Bigl[ \beta \rho + {\textstyle \frac{1}{2}} \bigl( \beta - \beta^{\;\! 2} \bigr) \sigma_{\!\delta}^{\;\! 2} \Bigr]    .

Page 94
Replace truncate with separate in the comment after Eq. 4.17, which should read “. . . and separate higher-order time. . .”

Page 97
The left-hand side of the equation before Eq. 4.23 should read as follows:  {\displaystyle \left. \frac{\;\! d \zeta}{d \beta} \right|_{\textstyle [\mu,\sigma]}}    .

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This entry was posted on June 9, 2013 by in Authored Books.
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