black.litterman: Black Litterman Estimates

In PortfolioAnalytics: Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

Description

Compute the Black Litterman estimate of moments for the posterior normal.

Usage

black.litterman(R, P, Mu = NULL, Sigma = NULL, Views = NULL)

Arguments

R	returns
P	a K x N pick matrix
Mu	vector of length N of the prior expected values. The sample mean is used if Mu=NULL.
Sigma	an N x N matrix of the prior covariance matrix. The sample covariance is used if Sigma=NULL.
Views	a vector of length K of the views

Value

• BLMu: posterior expected values

• BLSigma: posterior covariance matrix

Note

This function is largely based on the work of Xavier Valls to port the matlab code of Attilio Meucci to R as documented in the Meucci package.

Author(s)

Ross Bennett, Xavier Valls

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Also

BlackLittermanFormula

PortfolioAnalytics documentation built on May 1, 2019, 10:56 p.m.