BLResult-class: Class "BLResult": posterior of a market distribution in the...

In BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks

Description

This class holds the posterior market mean and variance-covariance matrix calculated from some prior and set of views. The original views are also returned.

Objects from the Class

Objects can be created by calls of the form new("BLResult", ...). However, it is intended that they be created by the function posteriorEst(or wrappers to that function).

Slots

views:

Object of class "BLViews". These are the original views used to calculate this posterior

tau:

Object of class "numeric". The value of "tau" used

priorMean:

Object of class "numeric": prior vector of market means

priorCovar:

Object of class "matrix": prior of the variance-covariance

posteriorMean:

Object of class "numeric": posterior mean

posteriorCovar:

Object of class "matrix": posterior variance-covariance

kappa:

Object of class "logical": logical flag indicating whether or not confidences-in-views were ignored.

Methods

denityPlots

signature(result = "BLResult"): Plots the marginal distributions of the asset returns under the prior and posterior distributions

show

signature(object = "BLResult"): Displays the contents of a result

optimalPortfolios.fPort

signature(result = "BLResult"): Generates optimal prior and posterior portfolios using fPortfolio package routines

Author(s)

Francisco Gochez

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