posteriorEst: This function performs the "core" calculation of the...
In BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks
Description
Usage
Arguments
Value
Author(s)
Description
This function performs the "core" calculation of the
Black-Litterman model.
Usage
1
posteriorEst(views, mu, tau = 0.5, sigma, kappa = 0)
Arguments
views
An object of class BLViews
mu
A vector of mean equilibrium returns
tau
The "tau" parameter in the Black-Litterman
model.
sigma
The variance-covariance matrix of the
returns of the assets
kappa
if greater than 0, the confidences in each
view are replaced. See the online help for details
Value
An object of class BLResult holding the updated
Black-Litterman posterior
Author(s)
Francisco
BLCOP documentation built on Jan. 26, 2021, 1:05 a.m.
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Description Usage Arguments Value Author(s)
Description
This function performs the "core" calculation of the Black-Litterman model.
Usage
1 | posteriorEst(views, mu, tau = 0.5, sigma, kappa = 0)
|
Arguments
views |
An object of class BLViews |
mu |
A vector of mean equilibrium returns |
tau |
The "tau" parameter in the Black-Litterman model. |
sigma |
The variance-covariance matrix of the returns of the assets |
kappa |
if greater than 0, the confidences in each view are replaced. See the online help for details |
Value
An object of class BLResult holding the updated Black-Litterman posterior
Author(s)
Francisco
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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