BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks

An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework.

Author
Francisco Gochez, Richard Chandler-Mant, Suchen Jin, Jinjing Xie
Date of publication
2015-02-04 21:10:04
Maintainer
Ava Yang <ayang@mango-solutions.com>
License
GPL-3
Version
0.3.1

View on CRAN

Man pages

addBLViews
Create or add to a BLViews object
assetSet
Extract various fields of view or posterior objects
BLCOPOptions
Global package options
BLPosterior
BLposterior
BLResult-class
Class "BLResult": posterior of a market distribution in the...
BLViews-class
Class "BLViews" (Black-Litterman views)
CAPMList
Compute CAPM alphas for a set of assets
COPPosterior
Calculate the posterior distribution of the market using...
COPResult-class
Class "COPResult"
COPViews-class
Class "COPViews" (copula opinion pooling views)
createViews
Create or add to a view object using a graphical interface
deleteViews
Delete individual views from view objects
densityPlots
Density plots of prior and posterior distributions
distribution-class
Class "distribution"
estimators
Get prior and posterior estimators stored in package scope
monthlyReturns
Monthly equity returns
mvdistribution
Constructors for distribution and mvdistribution class...
mvdistribution-class
Class "mvdistribution"
optimalPortfolios
Calculates optimal portfolios under prior and posterior...
posteriorEst
This function performs the "core" calculation of the...
posteriorFeasibility
Calculate the "feasibility" of the (Black-Litterman)...
replacers
Various functions for modifying fields of view objects
runBLCOPTestSuite
Execute the BLCOP unit tests
sampleFrom
Sample from a distribution object
sp500Returns
S&P500 Returns
US13wTB
Risk free rate of return

Files in this package

BLCOP
BLCOP/inst
BLCOP/inst/RUnit
BLCOP/inst/RUnit/posteriorsims.RData
BLCOP/inst/RUnit/runit.portfolioopt.R
BLCOP/inst/RUnit/runit.deleteviews.r
BLCOP/inst/RUnit/runit.BLPosterior.R
BLCOP/inst/RUnit/runit.COPPosterior.r
BLCOP/inst/RUnit/runit.buildviews.R
BLCOP/inst/RUnit/BLExample.RData
BLCOP/inst/RUnit/runit.CAPM.R
BLCOP/inst/RUnit/runit.showmethods.R
BLCOP/inst/RUnit/CAPMRes_lm.csv
BLCOP/inst/RUnit/CAPMRes_rlm.csv
BLCOP/inst/RUnit/testseed.RData
BLCOP/inst/RUnit/copexample2.RData
BLCOP/inst/RUnit/BLResult.RData
BLCOP/inst/RUnit/copexample.RData
BLCOP/inst/RUnit/posteriorInfo.RData
BLCOP/inst/doc
BLCOP/inst/doc/BlackLitterman.pdf
BLCOP/inst/doc/BLCOP.pdf
BLCOP/inst/doc/BLCOP.R
BLCOP/inst/doc/BLCOP.Rnw
BLCOP/NAMESPACE
BLCOP/NEWS
BLCOP/data
BLCOP/data/sp500Returns.RData
BLCOP/data/monthlyreturns.RData
BLCOP/data/US13wTB.RData
BLCOP/R
BLCOP/R/unittests.r
BLCOP/R/utils.R
BLCOP/R/BLGUI.r
BLCOP/R/portfolioopt.R
BLCOP/R/COPUI.r
BLCOP/R/BLAnalyzePost.r
BLCOP/R/calcalphas.r
BLCOP/R/extractreplace.r
BLCOP/R/constructors.r
BLCOP/R/simulation.r
BLCOP/R/BLPost.r
BLCOP/R/methods.R
BLCOP/R/COPPosterior.r
BLCOP/R/BLOptions.R
BLCOP/R/classesmethods.r
BLCOP/R/deleteViews.r
BLCOP/R/zzz.r
BLCOP/R/probDistance.r
BLCOP/R/densityPlots.r
BLCOP/R/BLbuildViews.r
BLCOP/R/COPBuildViews.r
BLCOP/vignettes
BLCOP/vignettes/BLCOP.Rnw
BLCOP/MD5
BLCOP/build
BLCOP/build/vignette.rds
BLCOP/DESCRIPTION
BLCOP/man
BLCOP/man/estimators.Rd
BLCOP/man/mvdistribution-class.Rd
BLCOP/man/COPResult-class.Rd
BLCOP/man/replacers.Rd
BLCOP/man/BLCOPOptions.Rd
BLCOP/man/mvdistribution.Rd
BLCOP/man/monthlyReturns.Rd
BLCOP/man/posteriorFeasibility.Rd
BLCOP/man/sampleFrom.Rd
BLCOP/man/BLPosterior.Rd
BLCOP/man/assetSet.Rd
BLCOP/man/COPViews-class.Rd
BLCOP/man/distribution-class.Rd
BLCOP/man/densityPlots.Rd
BLCOP/man/sp500Returns.Rd
BLCOP/man/BLResult-class.Rd
BLCOP/man/createViews.Rd
BLCOP/man/CAPMList.Rd
BLCOP/man/posteriorEst.Rd
BLCOP/man/deleteViews.Rd
BLCOP/man/runBLCOPTestSuite.Rd
BLCOP/man/US13wTB.Rd
BLCOP/man/BLViews-class.Rd
BLCOP/man/COPPosterior.Rd
BLCOP/man/addBLViews.Rd
BLCOP/man/optimalPortfolios.Rd