meucci.moments {PortfolioAnalytics}

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)

Arguments

R

xts object of asset returns

posterior_p

vector of posterior probabilities

Value

a list with the first and second moments

mu:

vector of expected returns

sigma:

covariance matrix

Author(s)

Ross Bennett

References

A. Meucci - "Fully Flexible Views: Theory and Practice".