[R-SIG-Finance] Black -Litterman Model

[Brian G. Peterson]

ngottlieb at marinercapital.com wrote:
> Does anyone know if the Black Litterman Model for Optimization has been
> implemented in R?
> 
> If in S would help also, and if in S how mushc would be involved in
> converting into an R package?

Black Litterman option pricing is certainly implemented in R.

However, I *think* you are talking about the extended Black Litterman 
models often applied to CAPM portfolio optimization.  I am not aware of 
anyone publishing code for an extended Black Litterman portfolio 
optimization model in R.  I've looked at it a couple of times, but never 
implemented it.

In the future, it would help if you would cite a reference that you are 
using as the basis for your question (web page, book, paper, etc.).  It 
would help list members to evaluate your request.

Regards,

   - Brian