BLPortfolioOptimizer: BLPortfolioOptimizer

In theteetrinker/CQFFA: CQF Final Project (Portfolio Optimization)

Description

Black Litterman Portfolio Optimizer

Usage

BLPortfolioOptimizer(risk.aversion.coeff = 3.07, tau = 0.025,
  covar.matrix, market.cap.weights, ident.view.matrix = NA,
  omega.matrix = NA, view.vector = NA)

Arguments

risk.aversion.coeff	(lambda) risk aversion coefficient, default is 3
tau	default is 0.025
covar.matrix	Covariance Matrix of N assets (N x N Matrix)
market.cap.weights	is a vector with the market capitalization weights
ident.view.matrix	(BL: P) Matrix that identifies the assets involved in the views (K x N Matrix)
view.vector	(BL: Q) Vector including the Views (K x 1 column vector)
diag.covar.error.matrix	(BL: Omega) A diagonal covariance matrix of error terms from the expressed views representing the uncertainty in each view (K x K Matrix)

Value

cvar CVaR of the specific portfolio or asset with the set alpha

theteetrinker/CQFFA documentation built on July 17, 2019, 3:37 p.m.