| 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]