BlackLittermanFormula: Computes the Black-Litterman formula for the moments of the...
In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios
View source: R/black_litterman.R
BlackLittermanFormula R Documentation
Computes the Black-Litterman formula for the moments of the posterior normal.
Description
This function computes the Black-Litterman formula for the moments of the posterior normal, as described in
A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
BlackLittermanFormula(Mu, Sigma, P, v, Omega)
Arguments
Mu
[vector] (N x 1) prior expected values.
Sigma
[matrix] (N x N) prior covariance matrix.
P
[matrix] (K x N) pick matrix.
v
[vector] (K x 1) vector of views.
Omega
[matrix] (K x K) matrix of confidence.
Value
BLMu [vector] (N x 1) posterior expected values.
BLSigma [matrix] (N x N) posterior covariance matrix.
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/.
See Meucci's script for "BlackLittermanFormula.m"
PortfolioAnalytics documentation built on April 4, 2025, 2:34 a.m.
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View source: R/black_litterman.R
| BlackLittermanFormula | R Documentation |
Computes the Black-Litterman formula for the moments of the posterior normal.
Description
This function computes the Black-Litterman formula for the moments of the posterior normal, as described in A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
BlackLittermanFormula(Mu, Sigma, P, v, Omega)
Arguments
Mu |
[vector] (N x 1) prior expected values. |
Sigma |
[matrix] (N x N) prior covariance matrix. |
P |
[matrix] (K x N) pick matrix. |
v |
[vector] (K x 1) vector of views. |
Omega |
[matrix] (K x K) matrix of confidence. |
Value
BLMu [vector] (N x 1) posterior expected values.
BLSigma [matrix] (N x N) posterior covariance matrix.
Author(s)
Xavier Valls flamejat@gmail.com
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/.
See Meucci's script for "BlackLittermanFormula.m"
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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