BlackLittermanFormula: Computes the Black-Litterman formula for the moments of the posterior normal.
Description
This function computes the Black-Litterman formula for the moments of the posterior normal, as described in
A. Meucci, "Risk and Asset Allocation", Springer, 2005.
Usage
BlackLittermanFormula(Mu, Sigma, P, v, Omega)
Arguments
Mu
[vector] (N x 1) prior expected values.
Sigma
[matrix] (N x N) prior covariance matrix.
P
[matrix] (K x N) pick matrix.
v
[vector] (K x 1) vector of views.
Omega
[matrix] (K x K) matrix of confidence.
Value
BLMu [vector] (N x 1) posterior expected values.BLSigma [matrix] (N x N) posterior covariance matrix.
References
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.See Meucci's script for "BlackLittermanFormula.m"