BLViews-class

deleteViews,BLViews-method

show,BLViews-method

An object that holds a set of analyst views, in the Black-Litterman sense, on a set of assets

classes

An implementation of the Black-Litterman Model and Attilio
Meucci's copula opinion pooling framework as described in
Meucci, Attilio (2005) <doi:10.2139/ssrn.848407>,
Meucci, Attilio (2006) <doi:10.2139/ssrn.872577> and
Meucci, Attilio (2008) <doi:10.2139/ssrn.1117574>.

Joe Russell

BLCOP

Black-Litterman and Copula Opinion Pooling Frameworks

Francisco Gochez

Richard Chandler-Mant

Suchen Jin

Jinjing Xie

Ava Yang

BLViews-class function

Objects can be created by calls of the form <code>new("BLViews", ...)</code> or with the <code>BLViews</code> function.

Objects from the Class

<dl class="dl-horizontal">
 <dt><code>P</code>:</dt><dd>Object of class <code>"matrix"</code>. The "pick" matrix</dd>
 <dt><code>qv</code>:</dt><dd>Object of class <code>"numeric"</code>. Means of the views</dd>
 <dt><code>confidences</code>:</dt><dd>Object of class <code>"numeric"</code>. Holds the confidence in each of the individual views</dd>
 <dt><code>assets</code>:</dt><dd>Object of class <code>"character"</code>: Name of the asset "universe" to which these views apply</dd>
 </dl>

Slots

<dl class="dl-horizontal">
 <dt>deleteViews</dt><dd><code>signature(views = "BLViews", viewsToDel = "numeric")</code>: Deletes a vector of views from the object, where the vector entries correspond to rows of the pick matrix</dd>
 <dt>show</dt><dd><code>signature(object = "BLViews")</code>: Prints views in a user-friendly manner</dd>
 </dl>

Methods

Class "BLViews" (Black-Litterman views) — BLViews-class

<dl class='dl-horizontal'>
 <dt><code>P</code>:</dt><dd>Object of class <code>"matrix"</code>. The "pick" matrix</dd>
 <dt><code>qv</code>:</dt><dd>Object of class <code>"numeric"</code>. Means of the views</dd>
 <dt><code>confidences</code>:</dt><dd>Object of class <code>"numeric"</code>. Holds the confidence in each of the individual views</dd>
 <dt><code>assets</code>:</dt><dd>Object of class <code>"character"</code>: Name of the asset "universe" to which these views apply</dd>
 </dl>

<dl class='dl-horizontal'>
 <dt>deleteViews</dt><dd><code>signature(views = "BLViews", viewsToDel = "numeric")</code>: Deletes a vector of views from the object, where the vector entries correspond to rows of the pick matrix</dd>
 <dt>show</dt><dd><code>signature(object = "BLViews")</code>: Prints views in a user-friendly manner</dd>
 </dl>

BLViews-class: Class "BLViews" (Black-Litterman views)

Description

Arguments

Objects from the Class

Slots

Methods