meucci.moments: Compute moments
Description
Compute the first and second moments using the Fully Flexible Views
framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".
Usage
meucci.moments(R, posterior_p)
Value
a list with the first and second moments
mu
:
vector of expected returns
sigma
:
covariance matrix
Arguments
- R
xts object of asset returns
- posterior_p
vector of posterior probabilities
References
A. Meucci - "Fully Flexible Views: Theory and Practice".