Black-Litterman and Copula Opinion Pooling Frameworks

An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework.


News

New in version 0.3.1:

  • No new functionality was added. Vignette document updated.

New in version 0.3.0:

  • No new functionality was added. The code of optimalPortfolios.fPort is updated according to the latest fPortfolio package. All failing unittests are fixed.

New in version 0.2.9:

  • No new functionality was added. Documentation updated to account for changes to the package sn.

New in version 0.2.8:

  • No new functionality was added. RUnit tests updated to correctly pass sn distribution parameters.

New in version 0.2.7:

  • No new functionality was added. A vignettes directory was created to comply with build process under R 3.1.0 and above.
  • Several non functional changes were made to remove warnings from build process. These were mainly documentation related.

New in version 0.2.6:

  • No new functionality was added. The package has simply been updated to build correctly under R 2.13.0.

New in version 0.2.4:

  • Made corrections to the vignette, added examples using the new optimalPortfolios.fPort functionality
  • Added several extractor functions, including posteriorMeanCov, posteriorSimulations, numSimulations, and priorViews
  • Added optimalPortfolios.fPort generic function. This function wraps fPortfolio functionality to allow one to see the impact of view blending on optimal portfolios, and is meant to replace the old "toy" optimizer.
  • The BLPosterior function now allows one to choose which function is used for covariance estimation
  • The "alphas" parameter for BLPosterior was renamed to "mu" for consistency with other Rmetrics naming conventions
  • densityPlots function generates an error when called on a class for which no method exists
  • densityPlots COPResults method allows one to select assets by name, not just numeric index
  • Modified the "show" method for objects of class BLViews, added a simple "show" method for COPResults class objects
  • Renamed "runBLCOPTestSuite" to "runBLCOPTests", added several enhancements including the ability to generate an RUnit HTML report

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("BLCOP")

0.3.1 by Ava Yang, 4 years ago


Browse source code at https://github.com/cran/BLCOP


Authors: Francisco Gochez , Richard Chandler-Mant , Suchen Jin , Jinjing Xie


Documentation:   PDF Manual  


GPL-3 license


Imports RUnit, timeSeries, fBasics, fMultivar, fPortfolio

Depends on methods, MASS, quadprog

Suggests sn, corpcor, mnormt


See at CRAN