posteriorEst {BLCOP}R Documentation

This function performs the "core" calculation of the Black-Litterman model.

Description

This function performs the "core" calculation of the Black-Litterman model.

Usage

posteriorEst(views, mu, tau = 0.5, sigma, kappa = 0)

Arguments

views

An object of class BLViews

mu

A vector of mean equilibrium returns

tau

The "tau" parameter in the Black-Litterman model.

sigma

The variance-covariance matrix of the returns of the assets

kappa

if greater than 0, the confidences in each view are replaced. See the online help for details

Value

An object of class BLResult holding the updated Black-Litterman posterior

Author(s)

Francisco


[Package BLCOP version 0.3.3 Index]