Errata for Optimization Methods in Finance, Second Edition

• page 21, system (II) should be $\mathbf{A}^\text{T}\mathbf{y} \le \mathbf{0}, \; \mathbf{b}^\text{T}\mathbf{y} > 0$
• page 26, the end of the first sentence in Iteration 2 should read $\bar \mathbf{c}_N = [\bar c_2, \bar c_4] = [-1, 2] \ngeq \mathbf{0}$.
• page 27, first sentence of the second to last paragraph should read “Hence we can get a point with better (higher) objective value than the current basic feasible solution $\bar \mathbf{y}$.”
• page 34, Exercise 2.11 part (a) the objective of the first problem should be $\max \mathbf{b}^\text{T}\mathbf{y}$ and the objective of the second problem should be $\min 0$
• page 110, last line and page 11 first line: the expression in brackets should be $\mathbf{B}^{\text T}\mathbf{D}^{-1}\mathbf{B}$ instead of $\mathbf{B}\mathbf{D}^{-1}\mathbf{B}^{\text T}$
• page 124, last sentence in second paragraph should read “Figure 7.1 illustrates the typical relative placement of the three frontiers.”
• page 131, towards the end of the second paragraph the sentence should read “To that end, they propose the following procedure:”
• page 135, equation (7.7) the objective should be $\max$ not $\min$
• page 142, definition of $\rho_{ij}$ in Example 8.2 it should be “similarity” instead of “similarily”
• page 176, equation (10.3) it should be $\mathbf{h}$ instead of $\mathbf{d}$
• page 183, second to last line should read “where $K$ is the largest index such that”
• page 227, last line should read $J_t(W_t) = (T-t+1)\log(W_t) +b_t$

If you notice another mistake or typo in the book, please let me know via email: j f p at andrew dot c m u dot e d u