CRAN/E | BLModel

BLModel

Black-Litterman Posterior Distribution

Installation

About

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.

Key Metrics

Version 1.0.2
R ≥ 3.3.0
Published 2017-03-29 2557 days ago
Needs compilation? no
License GNU General Public License version 3
CRAN checks BLModel results

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Maintainer

Maintainer

Andrzej Palczewski

A.Palczewski@mimuw.edu.pl

Authors

Andrzej Palczewski

aut / cre

Jan Palczewski

aut

Alicja Gosiewska

ctb

Material

Reference manual
Package source

In Views

Finance

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 3.3.0

Suggests

mvtnorm
testthat