Compute the Black Litterman estimate of moments for the posterior normal.
black.litterman(R, P, Mu = NULL, Sigma = NULL, Views = NULL)
posterior expected values
posterior covariance matrix
returns
a K x N pick matrix
vector of length N of the prior expected values. The sample mean
is used if Mu=NULL
.
an N x N matrix of the prior covariance matrix. The sample
covariance is used if Sigma=NULL
.
a vector of length K of the views
Ross Bennett, Xavier Valls
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/.
BlackLittermanFormula