Description Usage Arguments Value Author(s) References
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.
1 | BlackLittermanFormula(Mu, Sigma, P, v, Omega)
|
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. |
BLMu [vector] (N x 1) posterior expected values.
BLSigma [matrix] (N x N) posterior covariance matrix.
Xavier Valls flamejat@gmail.com
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.
See Meucci's script for "BlackLittermanFormula.m"
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