PortfolioAnalytics: meucci.moments – R documentation

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meucci.moments

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".

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]

Initial release

2018-05-17