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.
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1.0.2 by Andrzej Palczewski, 2 years ago
Browse source code at https://github.com/cran/BLModel
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