COPPosterior: Calculate the posterior distribution of the market using...
In BLCOP: Black-Litterman and copula-opinion pooling frameworks

Description Usage Arguments Value Author(s) References See Also Examples

COPPosteior uses Attilio Meucci's copula opinion pooling method to incorporate an analyst's subjective views with a prior "official" market distribution. Both the views and the market may have an arbitrary distribution as long as it can be sampled in R. Calculations are done with monte-carlo simulation, and the object returned will hold samples drawn from the market posterior distribution.

1	COPPosterior(marketDist, views, numSimulations = BLCOPOptions("numSimulations"))

`marketDist`	An object of class mvdistribution which describes the prior "official" distribution of the market.
`views`	An object of class COPViews which describe the subjective views on the market distribution
`numSimulations`	The number of monte carlo samples to draw during calculations. Each asset in one's universe will have numSimulations samples from the posterior.

An object of class COPResult.

Francisco Gochez <fgochez@mango-solutions.com>

Attilio Meucci, "Beyond Black-Litterman:Views on Non-normal Markets". See also Attilio Meucci, "Beyond Black-Litterman in Practice: a Five-Step Recipe to Input Views on non-Normal Markets."

BLPosterior

    
    ## Not run:     
        # An example based on one found in "Beyond Black-Litterman:Views on Non-normal Markets"
        dispersion <- c(.376,.253,.360,.333,.360,.600,.397,.396,.578,.775) / 1000
        sigma <- BLCOP:::.symmetricMatrix(dispersion, dim = 4)
        caps <- rep(1/4, 4)
        mu <- 2.5 * sigma 
        dim(mu) <- NULL
        marketDistribution <- mvdistribution("mt", mean = mu, S = sigma, df = 5 )
        pick <- matrix(0, ncol = 4, nrow = 1, dimnames = list(NULL, c("SP", "FTSE", "CAC", "DAX")))
        pick[1,4] <- 1
        vdist <- list(distribution("unif", min = -0.02, max = 0))
    
        views <- COPViews(pick, vdist, 0.2, c("SP", "FTSE", "CAC", "DAX"))
        posterior <- COPPosterior(marketDistribution, views)
    
## End(Not run)