Last data update: 2014.03.03
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R: BLposterior
BLPosterior | R Documentation |
BLposterior
Description
BLposterior
Usage
BLPosterior(returns, views, tau = 1, marketIndex, riskFree = NULL,
kappa = 0, covEstimator = "cov")
Arguments
returns |
A matrix of time series of returns. The
columns should correspond to individual assets.
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views |
An object of class BLViews
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tau |
The "tau" parameter in the Black-Litterman
model.
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marketIndex |
A set of returns of a market index.
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riskFree |
A time series of risk-free rates of
return. Defaults to 0
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kappa |
if greater than 0, the confidences in each
view are replaced. See the online help for details
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covEstimator |
A string holding the name of the
function that should be used to estimate the
variance-covariance matrix. This function should simply
return a matrix.
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Value
An object of class BLResult
Author(s)
Francisco
Results
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