BLResult-class {BLCOP} | R Documentation |
Class "BLResult": posterior of a market distribution in the Black-Litterman sense
Description
This class holds the posterior market mean and variance-covariance matrix calculated from some prior and set of views. The original views are also returned.
Objects from the Class
Objects can be created by calls of the form new("BLResult", ...)
. However, it is intended that they be created by
the function posteriorEst(or wrappers to that function).
Slots
views
:Object of class
"BLViews"
. These are the original views used to calculate this posteriortau
:Object of class
"numeric"
. The value of "tau" usedpriorMean
:Object of class
"numeric"
: prior vector of market meanspriorCovar
:Object of class
"matrix"
: prior of the variance-covarianceposteriorMean
:Object of class
"numeric"
: posterior meanposteriorCovar
:Object of class
"matrix"
: posterior variance-covariancekappa
:Object of class
"logical"
: logical flag indicating whether or not confidences-in-views were ignored.
Methods
- denityPlots
signature(result = "BLResult")
: Plots the marginal distributions of the asset returns under the prior and posterior distributions- show
signature(object = "BLResult")
: Displays the contents of a result- optimalPortfolios.fPort
signature(result = "BLResult")
: Generates optimal prior and posterior portfolios usingfPortfolio
package routines
Author(s)
Francisco Gochez