posterior_params: Black Litterman posterior mean and variance.

In veldanie/SuraInvestmentAnalytics: Investment Analytics

Black Litterman posterior mean and variance.

Description

Black Litterman posterior return incorporating views.

Usage

posterior_params(mu, q, tau, Sigma, P, Omega = NULL, conf = 0.5)

Arguments

mu	Expected equilibrium return.
q	Views relative and absolute returns.
tau	Factor to reduce equilibrium returns variance.
Sigma	Covariance matrix.
P	Views matrix.
conf	Confidence level on the view. Value between 0 and 1. This value is mapped to [0, 10] with 0.5 correponding to conf = 1.
omega	Views variance matrix. Bu default: tau.diag(P.Sigma.t(P))/conf (Meucci (2009)).

Value

Returns.

veldanie/SuraInvestmentAnalytics documentation built on April 14, 2024, 10:29 p.m.