BlackLittermanFormula

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

Ross Bennett

Kris Boudt

Xinran Zhao

R. Douglas Martin

Guy Yollin

Hezky Varon

Xiaokang Feng

Yifu Kang

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=2.0.0" 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