An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework. This should be regarded as a beta release.
|Author||Francisco Gochez <email@example.com>|
|Date of publication||2014-04-22 13:36:01|
|Maintainer||Mango Solutions <firstname.lastname@example.org>|
addBLViews: Create or add to a BLViews object
assetSet: Extract various fields of view or posterior objects
BLCOPOptions: Global package options
BLPosterior: Compute the posterior distribution of the market according...
BLResult-class: Class "BLResult": posterior of a market distribution in the...
BLViews-class: Class "BLViews" (Black-Litterman views)
CAPMList: Compute CAPM alphas for a set of assets
COPPosterior: Calculate the posterior distribution of the market using...
COPResult-class: Class "COPResult"
COPViews-class: Class "COPViews" (copula opinion pooling views)
createViews: Create or add to a view object using a graphical interface
deleteViews: Delete individual views from view objects
densityPlots: Density plots of prior and posterior distributions
distribution-class: Class "distribution"
monthlyReturns: Monthly equity returns
mvdistribution: Constructors for distribution and mvdistribution class...
mvdistribution-class: Class "mvdistribution"
optimalPortfolios: Calculates optimal portfolios under prior and posterior...
posteriorFeasibility: Calculate the "feasibility" of the (Black-Litterman)...
replacers: Various functions for modifying fields of view objects
runBLCOPTestSuite: Execute the BLCOP unit tests
sampleFrom: Sample from a distribution object
sp500Returns: S&P500 Returns
US13wTB: Risk free rate of return