BlackLittermanFormula: Computes the Black-Litterman formula for the moments of the...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
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
1
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" http://symmys.com/node/170.
See Meucci's script for "BlackLittermanFormula.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.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.
Description Usage Arguments Value Author(s) References
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
1 | 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" http://symmys.com/node/170.
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.