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.
| Version: | 1.0.2 |
| Depends: | R (≥ 3.3.0) |
| Suggests: | mvtnorm, testthat |
| Published: | 2017-03-29 |
| DOI: | 10.32614/CRAN.package.BLModel |
| Author: | Andrzej Palczewski [aut, cre], Jan Palczewski [aut], Alicja Gosiewska [ctb] |
| Maintainer: | Andrzej Palczewski <A.Palczewski at mimuw.edu.pl> |
| License: | GNU General Public License version 3 |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | BLModel results |
| Reference manual: | BLModel.pdf |
| Package source: | BLModel_1.0.2.tar.gz |
| Windows binaries: | r-devel: BLModel_1.0.2.zip, r-release: BLModel_1.0.2.zip, r-oldrel: BLModel_1.0.2.zip |
| macOS binaries: | r-release (arm64): BLModel_1.0.2.tgz, r-oldrel (arm64): BLModel_1.0.2.tgz, r-release (x86_64): BLModel_1.0.2.tgz, r-oldrel (x86_64): BLModel_1.0.2.tgz |
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