Description Usage Arguments Value References Examples
Function observ_normal computes density of normal distribution of views using the formula
f(x) = c_k*\exp(-((x-q)^{T}*covmat^{-1}*(x-q))/2),
where c_k is a normalization constant (depends on the dimension of x and q).
1 | observ_normal(x, q, covmat)
|
x |
Data points matrix which collects in rows coordinates of points in which distribution density is computed. |
q |
Vector of investor's views. |
covmat |
Covariance matrix of the distribution. |
function returns a vector of distribution densities in data points x.
Palczewski, J., Palczewski, A., Black-Litterman Model for Continuous Distributions (2016). Available at SSRN: https://ssrn.com/abstract=2744621.
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