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.


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Reference manual

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install.packages("BLModel")

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