Description Usage Arguments Value Author(s)
BLposterior
1 2 | BLPosterior(returns, views, tau = 1, marketIndex, riskFree = NULL,
kappa = 0, covEstimator = "cov")
|
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. |
An object of class BLResult
Francisco
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