[R-SIG-Finance] Black Litterman portfolio optimization
fgochez at mango-solutions.com
Fri Feb 20 10:19:01 CET 2009
As mentioned by Debashis, I am the author of this package, which is
still under development. I have not had much time to move beyond
version 0.2.2 until now, but I plan to release another update fairly
soon. In particular, I am planning to make it easier to use the other
Rmetrics tools for portfolio optimization together with the results
produced by the prior/posterior blending routines (expected shortfall
optimization for copula opinion pooling should be part of this). In the
meantime, I welcome any questions or feedback you might have about the
S & R Consulting and Training
+44 (0)1249 767 700
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Reena
Sent: 19 February 2009 19:42
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Black Litterman portfolio optimization
Hi All -
I am looking for Black Litterman CAPM portfolio optimization
implementation in R.
I came across the beta release of BLCOP package. Has anybody used this
package and is there any other implementation of the above in R?
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