Package: BLModel 1.0.2

Andrzej Palczewski

BLModel: Black-Litterman Posterior Distribution

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.

Authors:Andrzej Palczewski [aut, cre], Jan Palczewski [aut], Alicja Gosiewska [ctb]

BLModel_1.0.2.tar.gz
BLModel_1.0.2.tar.gz(r-4.7-any)BLModel_1.0.2.tar.gz(r-4.6-any)
BLModel_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
BLModel/json (API)

# Install 'BLModel' in R:

install.packages('BLModel', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 6 scripts 635 downloads 5 exports 0 dependencies

Last updated from:3b6b8747a4. Checks:4 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	OK	104
source / vignettes	OK	150
linux-release-x86_64	OK	109
wasm-release	OK	89

Exports:BL_post_distr equilibrium_mean observ_normal observ_powerexp observ_ts

Dependencies:

Citation

Readme and manuals

Help Manual

Help page	Topics
Computes the Black-Litterman posterior distribution.	BL_post_distr
Solves the inverse optimization to mean-risk standard optimization problem to find equilibrium returns. The function is invoked by BL_post_distr and arguments are supplemented by BL_post_distr.	equilibrium_mean
Example of distribution of views - normal distribution	observ_normal
Example of distribution of views - power exponential distribution	observ_powerexp
Example of distribution of views - Student t-distribution	observ_ts

Package: BLModel 1.0.2

BLModel: Black-Litterman Posterior Distribution

Citation

Readme and manuals

Help Manual

Usage by other packages (reverse dependencies)