Description Usage Arguments Value Author(s) References See Also Examples

`COPPosteior`

uses Attilio Meucci's copula opinion pooling method to incorporate an analyst's subjective
views with a prior "official" market distribution. Both the views and the market may have an arbitrary distribution
as long as it can be sampled in R.
Calculations are done with monte-carlo simulation, and the object returned will hold samples drawn from the market
posterior distribution.

1 | ```
COPPosterior(marketDist, views, numSimulations = BLCOPOptions("numSimulations"))
``` |

`marketDist` |
An object of class mvdistribution which describes the prior "official" distribution of the market. |

`views` |
An object of class COPViews which describe the subjective views on the market distribution |

`numSimulations` |
The number of monte carlo samples to draw during calculations. Each asset in one's universe will have numSimulations samples from the posterior. |

An object of class COPResult.

Francisco Gochez <fgochez@mango-solutions.com>

Attilio Meucci, "Beyond Black-Litterman:Views on Non-normal Markets". See also Attilio Meucci, "Beyond Black-Litterman in Practice: a Five-Step Recipe to Input Views on non-Normal Markets."

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 | ```
## Not run:
# An example based on one found in "Beyond Black-Litterman:Views on Non-normal Markets"
dispersion <- c(.376,.253,.360,.333,.360,.600,.397,.396,.578,.775) / 1000
sigma <- BLCOP:::.symmetricMatrix(dispersion, dim = 4)
caps <- rep(1/4, 4)
mu <- 2.5 * sigma
dim(mu) <- NULL
marketDistribution <- mvdistribution("mt", mean = mu, S = sigma, df = 5 )
pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
pick[1,4] <- 1
vdist <- list(distribution("unif", min = -0.02, max = 0))
views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
posterior <- COPPosterior(marketDistribution, views)
## End(Not run)
``` |

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