Black-Litterman Posterior Distribution

Posterior distribution in the Black-Litterman model is computed from a prior distribution given in the form of a time series of asset returns and a continuous distribution of views provided by the user as an external function.


Reference manual

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1.0.2 by Andrzej Palczewski, 4 years ago

Browse source code at

Authors: Andrzej Palczewski [aut, cre] , Jan Palczewski [aut] , Alicja Gosiewska [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance

GNU General Public License version 3 license

Suggests mvtnorm, testthat

See at CRAN