November 16, 2011
My FM320 student Daniel Payne pointed out that in example 4.3 in third line from the bottom the subscript on the weight is wrong, its right in the preceding line, so in both cases it should be:$$ (w_X \sigma_X + w_Y \sigma_Y)^2$$
Financial Risk ForecastingMarket risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
© All rights reserved, Jon Danielsson,