black.litterman {PortfolioAnalytics}

Black Litterman Estimates

Description

Compute the Black Litterman estimate of moments for the posterior normal.

Usage

black.litterman(R, P, Mu = NULL, Sigma = NULL, Views = NULL)

Arguments

R

returns

P

a K x N pick matrix

Mu

vector of length N of the prior expected values. The sample mean is used if Mu=NULL.

Sigma

an N x N matrix of the prior covariance matrix. The sample covariance is used if Sigma=NULL.

Views

a vector of length K of the views

Value

BLMu:

posterior expected values

BLSigma:

posterior covariance matrix

Note

This function is largely based on the work of Xavier Valls to port the matlab code of Attilio Meucci to R as documented in the Meucci package.

Author(s)

Ross Bennett, Xavier Valls

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/.

See Also

BlackLittermanFormula