BLCOP: Black-Litterman and copula-opinion pooling frameworks

An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework. This should be regarded as a beta release.

AuthorFrancisco Gochez <fgochez@mango-solutions.com>
Date of publication2014-04-22 13:36:01
MaintainerMango Solutions <support@mango-solutions.com>
LicenseGPL-3
Version0.2.6

View on R-Forge

Functions

addBLViews Man page
addCOPViews Man page
assetSet Man page
BLCOPOptions Man page
BLPosterior Man page
BLResult-class Man page
BLViews Man page
BLViews-class Man page
CAPMList Man page
confidences Man page
confidences<- Man page
COPPosterior Man page
COPResult-class Man page
COPViews Man page
COPViews-class Man page
createBLViews Man page
createCOPViews Man page
deleteViews Man page
deleteViews,BLViews-method Man page
deleteViews,COPViews-method Man page
densityPlots Man page
densityPlots.BLResult Man page
densityPlots,BLResult-method Man page
densityPlots.COPResult Man page
densityPlots,COPResult-method Man page
distribution Man page
distribution-class Man page
monthlyReturns Man page
mvdistribution Man page
mvdistribution-class Man page
newPMatrix Man page
numSimulations Man page
optimalPortfolios Man page
optimalPortfolios.fPort Man page
optimalPortfolios.fPort.BL Man page
optimalPortfolios.fPort,BLResult-method Man page
optimalPortfolios.fPort.COP Man page
optimalPortfolios.fPort,COPResult-method Man page
PMatrix Man page
PMatrix<- Man page
posteriorEst Man page
posteriorFeasibility Man page
posteriorMeanCov Man page
posteriorSimulations Man page
priorViews Man page
probDistance,COPResult-method Man page
qv<- Man page
runBLCOPTests Man page
sampleFrom Man page
show,BLResult-method Man page
show,BLViews-method Man page
show.COPResult Man page
show,COPResult-method Man page
show,COPViews-method Man page
sp500Returns Man page
updateBLViews Man page
US13wTB Man page
viewMatrix Man page

Files

BLCOP/DESCRIPTION
BLCOP/NAMESPACE
BLCOP/NEWS
BLCOP/R
BLCOP/R/BLAnalyzePost.r
BLCOP/R/BLGUI.r
BLCOP/R/BLOptions.R
BLCOP/R/BLPost.r
BLCOP/R/BLbuildViews.r
BLCOP/R/COPBuildViews.r
BLCOP/R/COPPosterior.r
BLCOP/R/COPUI.r
BLCOP/R/calcalphas.r
BLCOP/R/classesmethods.r
BLCOP/R/constructors.r
BLCOP/R/deleteViews.r
BLCOP/R/densityPlots.r
BLCOP/R/extractreplace.r
BLCOP/R/methods.R BLCOP/R/portfolioopt.R
BLCOP/R/probDistance.r
BLCOP/R/simulation.r
BLCOP/R/unittests.r
BLCOP/R/utils.R
BLCOP/R/zzz.r
BLCOP/data
BLCOP/data/US13wTB.RData
BLCOP/data/monthlyreturns.RData
BLCOP/data/sp500Returns.RData
BLCOP/inst
BLCOP/inst/RUnit
BLCOP/inst/RUnit/BLResult.RData
BLCOP/inst/RUnit/CAPMRes_lm.csv
BLCOP/inst/RUnit/CAPMRes_rlm.csv
BLCOP/inst/RUnit/copexample.RData
BLCOP/inst/RUnit/copexample2.RData
BLCOP/inst/RUnit/posteriorInfo.RData
BLCOP/inst/RUnit/posteriorsims.RData
BLCOP/inst/RUnit/runit.BLPosterior.R
BLCOP/inst/RUnit/runit.CAPM.R
BLCOP/inst/RUnit/runit.COPPosterior.r
BLCOP/inst/RUnit/runit.buildviews.R
BLCOP/inst/RUnit/runit.deleteviews.r
BLCOP/inst/RUnit/runit.portfolioopt.R
BLCOP/inst/RUnit/runit.showmethods.R
BLCOP/inst/RUnit/testseed.RData
BLCOP/inst/doc
BLCOP/inst/doc/BLCOP.Rnw
BLCOP/man
BLCOP/man/BLCOPOptions.Rd BLCOP/man/BLPosterior.Rd BLCOP/man/BLResult-class.Rd BLCOP/man/BLViews-class.Rd BLCOP/man/CAPMList.Rd BLCOP/man/COPPosterior.Rd BLCOP/man/COPResult-class.Rd BLCOP/man/COPViews-class.Rd BLCOP/man/US13wTB.Rd BLCOP/man/addBLViews.Rd BLCOP/man/assetSet.Rd BLCOP/man/createViews.Rd BLCOP/man/deleteViews.Rd BLCOP/man/densityPlots.Rd BLCOP/man/distribution-class.Rd BLCOP/man/monthlyReturns.Rd BLCOP/man/mvdistribution-class.Rd BLCOP/man/mvdistribution.Rd BLCOP/man/optimalPortfolios.Rd BLCOP/man/posteriorFeasibility.Rd BLCOP/man/replacers.Rd BLCOP/man/runBLCOPTestSuite.Rd BLCOP/man/sampleFrom.Rd BLCOP/man/sp500Returns.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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