BLModel (1.0.2)

0 users

Black-Litterman Posterior Distribution.

http://cran.r-project.org/web/packages/BLModel

Posterior distribution in the Black-Litterman model is computed from a prior distribution given in the form of a time series of asset returns and a continuous distribution of views provided by the user as an external function.

Maintainer: Andrzej Palczewski
Author(s): Andrzej Palczewski [aut, cre], Jan Palczewski [aut], Alicja Gosiewska [ctb]

License: GNU General Public License version 3

Uses: mvtnorm, testthat

Released 7 months ago.

Ratings

Overall:
  (0 votes)

Documentation:
  (0 votes)

Log in to vote.

Reviews

No one has written a review of BLModel yet. Want to be the first? Write one now.

Related packages: ChainLadder, CreditMetrics, MSBVAR, PerformanceAnalytics, Rcmdr, TSdbi, TTR, Zelig, backtest, car, copula, dlm, dse, dyn, dynlm, fAssets, fBasics, fBonds, fCopulae, fExoticOptions … (20 best matches, based on common tags.)

Search for BLModel on google, google scholar, r-help, r-devel.

Visit BLModel on R Graphical Manual.