BlackLittermanFormula

[vector] (N x 1) prior expected values.

[matrix] (N x N) prior covariance matrix.

Sigma

[matrix] (K x K) matrix of confidence.

Omega

This function computes the Black-Litterman formula for the moments of the posterior normal, as described in 
A. Meucci, "Risk and Asset Allocation", Springer, 2005.

Portfolio optimization and analysis routines and graphics.

Brian G Peterson

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization
of Portfolios

Peter Carl

Kris Boudt

Ross Bennett

Hezky Varon

Guy Yollin

R. Douglas Martin

BlackLittermanFormula function

<dl><dt>Mu</dt>
<dd>[vector] (N x 1) prior expected values.</dd>
<dt>Sigma</dt>
<dd>[matrix] (N x N) prior covariance matrix.</dd>
<dt>P</dt>
<dd>[matrix] (K x N) pick matrix.</dd>
<dt>v</dt>
<dd>[vector] (K x 1) vector of views.</dd>
<dt>Omega</dt>
<dd>[matrix] (K x K) matrix of confidence.</dd></dl>

Arguments

Xavier Valls <a href="/link/flamejat%40gmail.com?package=PortfolioAnalytics&version=1.1.0" data-mini-rdoc="PortfolioAnalytics::flamejat@gmail.com">flamejat@gmail.com</a>

Author

Computes the Black-Litterman formula for the moments of the posterior normal. — BlackLittermanFormula

<dl>

<dt>Mu</dt>
<dd>[vector] (N x 1) prior expected values.</dd>


<dt>Sigma</dt>
<dd>[matrix] (N x N) prior covariance matrix.</dd>


<dt>P</dt>
<dd>[matrix] (K x N) pick matrix.</dd>


<dt>v</dt>
<dd>[vector] (K x 1) vector of views.</dd>


<dt>Omega</dt>
<dd>[matrix] (K x K) matrix of confidence.</dd>

</dl>

Xavier Valls <a href='mailto:flamejat@gmail.com'>flamejat@gmail.com</a>

BlackLittermanFormula: Computes the Black-Litterman formula for the moments of the posterior normal.

Description

Usage

Value

Arguments

Author

References