PortfolioAnalytics: black.litterman – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

black.litterman

Black Litterman Estimates

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

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

`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

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.

Ross Bennett, Xavier Valls

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.