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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Andrzej Palczewski, 4 years ago
Browse source code at
Andrzej Palczewski [aut, cre]
Jan Palczewski [aut]
Alicja Gosiewska [ctb]
GNU General Public License version 3
Suggests mvtnorm, testthat
See at CRAN