black.litterman

vector of length N of the prior expected values. The sample mean
is used if <code>Mu=NULL</code>.

an N x N matrix of the prior covariance matrix. The sample 
covariance is used if <code>Sigma=NULL</code>.

Sigma

Views

Compute the Black Litterman estimate of moments for the posterior normal.

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

black.litterman function

<dl><dt>R</dt>
<dd>returns</dd>
<dt>P</dt>
<dd>a K x N pick matrix</dd>
<dt>Mu</dt>
<dd>vector of length N of the prior expected values. The sample mean
is used if <code>Mu=NULL</code>.</dd>
<dt>Sigma</dt>
<dd>an N x N matrix of the prior covariance matrix. The sample 
covariance is used if <code>Sigma=NULL</code>.</dd>
<dt>Views</dt>
<dd>a vector of length K of the views</dd></dl>

Arguments

Author

Black Litterman Estimates — black.litterman

<dl>

<dt>R</dt>
<dd>returns</dd>


<dt>P</dt>
<dd>a K x N pick matrix</dd>


<dt>Mu</dt>
<dd>vector of length N of the prior expected values. The sample mean
is used if <code>Mu=NULL</code>.</dd>


<dt>Sigma</dt>
<dd>an N x N matrix of the prior covariance matrix. The sample 
covariance is used if <code>Sigma=NULL</code>.</dd>


<dt>Views</dt>
<dd>a vector of length K of the views</dd>

</dl>

black.litterman: Black Litterman Estimates

Description

Usage

Value

Arguments

Author

References

See Also