Description Usage Arguments Note
Set portfolio moments for use by lower level optimization functions using a basic Black Litterman model.
1 2 |
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
portfolio |
an object of type |
momentargs |
list containing arguments to be passed down to lower level functions, default NULL |
P |
a K x N pick matrix representing views |
Mu |
vector of length N of the prior expected values. The sample mean
is used if |
Sigma |
an N x N matrix of the prior covariance matrix. The sample
covariance is used if |
... |
any other passthru parameters |
If any of the objectives in the portfolio
object have
clean
as an argument, the cleaned returns are used to fit the model.
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