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portfolio.moments.bl

Portfolio Moments

Description

Set portfolio moments for use by lower level optimization functions using a basic Black Litterman model.

Usage

portfolio.moments.bl(R, portfolio, momentargs = NULL, P, Mu = NULL,
  Sigma = NULL, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
portfolio

an object of type portfolio specifying the constraints and objectives for the optimization, see portfolio.spec
momentargs

list containing arguments to be passed down to lower level functions, default NULL
P

a K x N pick matrix representing views
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.
...

any other passthru parameters

Note

If any of the objectives in the portfolio object have clean as an argument, the cleaned returns are used to fit the model.

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

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