BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks

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

Install the latest version of this package by entering the following in R:
install.packages("BLCOP")
AuthorFrancisco Gochez, Richard Chandler-Mant, Suchen Jin, Jinjing Xie
Date of publication2015-02-04 21:10:04
MaintainerAva Yang <ayang@mango-solutions.com>
LicenseGPL-3
Version0.3.1

View on CRAN

Functions

addBLViews Man page
addCOPViews Man page
assetSet Man page
BLCOPOptions Man page
BLPosterior Man page
BLResult-class Man page
BLViews Man page
BLViews-class Man page
CAPMList Man page
confidences Man page
confidences<- Man page
COPPosterior Man page
COPResult-class Man page
COPViews Man page
COPViews-class Man page
createBLViews Man page
createCOPViews Man page
deleteViews Man page
deleteViews,BLViews-method Man page
deleteViews,COPViews-method Man page
densityPlots Man page
densityPlots.BLResult Man page
densityPlots,BLResult-method Man page
densityPlots.COPResult Man page
densityPlots,COPResult-method Man page
distribution Man page
distribution-class Man page
Estimators Man page
getPosteriorEstim Man page
getPriorEstim Man page
monthlyReturns Man page
mvdistribution Man page
mvdistribution-class Man page
newPMatrix Man page
numSimulations Man page
optimalPortfolios Man page
optimalPortfolios.fPort Man page
optimalPortfolios.fPort.BL Man page
optimalPortfolios.fPort,BLResult-method Man page
optimalPortfolios.fPort.COP Man page
optimalPortfolios.fPort,COPResult-method Man page
PMatrix Man page
PMatrix<- Man page
posteriorEst Man page
posteriorFeasibility Man page
posteriorMeanCov Man page
posteriorSimulations Man page
priorViews Man page
probDistance,COPResult-method Man page
qv<- Man page
runBLCOPTests Man page
sampleFrom Man page
show,BLResult-method Man page
show,BLViews-method Man page
show.COPResult Man page
show,COPResult-method Man page
show,COPViews-method Man page
sp500Returns Man page
updateBLViews Man page
US13wTB Man page
viewMatrix Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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