Notes from Erich
 
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Thursday, October 2nd, 2008

    Time Event
    2:08p
    Why not
    * Grab the nearest book.
    * Open the book to page 56.
    * Find the fifth sentence.
    * Post the text of the next two to five sentences in your journal along with these instructions.
    * Don't dig for your favorite book, the cool book, or the intellectual one: pick the CLOSEST.
    ---------------------

    "We have been very careful to define the time structure in this model. The exposures are known at time t, the beginning of the period. The asset returns, factor returns, and specific returns span the period from time t to time t + 1. In the rest of this chapter, we will suppress the explicit time variables."

    - "Structural Risk Models", from Chapter 3, "Risk", in Grinold and Kahn's Active Portfolio Management (2000), sitting next to me on my desk at work.

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