Portfolio Moments

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Description

Set portfolio moments for use by lower level optimization functions using a basic Black Litterman model.

Usage

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portfolio.moments.bl(R, portfolio, momentargs = NULL, P, Mu = NULL,
  Sigma = NULL, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

portfolio

an object of type portfolio specifying the constraints and objectives for the optimization, see portfolio.spec

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 Mu=NULL.

Sigma

an N x N matrix of the prior covariance matrix. The sample covariance is used if Sigma=NULL.

...

any other passthru parameters

Note

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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