BLPosterior: BLposterior

Description Usage Arguments Value Author(s)

Description

BLposterior

Usage

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BLPosterior(returns, views, tau = 1, marketIndex, riskFree = NULL,
  kappa = 0, covEstimator = "cov")

Arguments

returns

A matrix of time series of returns. The columns should correspond to individual assets.

views

An object of class BLViews

tau

The "tau" parameter in the Black-Litterman model.

marketIndex

A set of returns of a market index.

riskFree

A time series of risk-free rates of return. Defaults to 0

kappa

if greater than 0, the confidences in each view are replaced. See the online help for details

covEstimator

A string holding the name of the function that should be used to estimate the variance-covariance matrix. This function should simply return a matrix.

Value

An object of class BLResult

Author(s)

Francisco


BLCOP documentation built on Jan. 26, 2021, 1:05 a.m.