PortfolioAnalytics (version 1.0.3636)

meucci.moments: Compute moments

Description

Compute the first and second moments using the Fully Flexible Views framework as described in A. Meucci - "Fully Flexible Views: Theory and Practice".

Usage

meucci.moments(R, posterior_p)

Arguments

R

xts object of asset returns

posterior_p

vector of posterior probabilities

Value

a list with the first and second moments

• mu: vector of expected returns
• sigma: covariance matrix

References

A. Meucci - "Fully Flexible Views: Theory and Practice".