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Posterior distribution in the Black-Litterman model is computed from a prior distribution given in the form of a time series of asset returns and a continuous distribution of views provided by the user as an external function.
Package details |
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Author | Andrzej Palczewski [aut, cre], Jan Palczewski [aut], Alicja Gosiewska [ctb] |
Maintainer | Andrzej Palczewski <A.Palczewski@mimuw.edu.pl> |
License | GNU General Public License version 3 |
Version | 1.0.2 |
Package repository | View on CRAN |
Installation |
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