PortfolioAnalytics (version 1.0.3636)

black.litterman: Black Litterman Estimates

Description

Compute the Black Litterman estimate of moments for the posterior normal.

Usage

black.litterman(R, P, Mu = NULL, Sigma = NULL, Views = NULL)

Arguments

R

returns

P

a K x N pick matrix

Mu

vector of length N of the prior expected values. The sample mean is used if Mu=NULL.

Sigma

an N x N matrix of the prior covariance matrix. The sample covariance is used if Sigma=NULL.

Views

a vector of length K of the views

Value

• BLMu: posterior expected values
• BLSigma: posterior covariance matrix

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Also

BlackLittermanFormula