black.litterman: Black Litterman Estimates

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

Black Litterman Estimates

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" https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/.

See Also

BlackLittermanFormula

braverock/PortfolioAnalytics documentation built on Aug. 25, 2024, 1:03 a.m.