[R-SIG-Finance] Black Litterman portfolio optimization

[Francisco Gochez]

Hi Reena,

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
package.

Regards,

Francisco


Mango Solutions

S & R Consulting and Training

+44 (0)1249 767 700


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Reena
Bansal
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. 

Reference
http://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAs
sociates/BlackLitterman.pdf

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?

Thanks,
Reena

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