[R-SIG-Finance] [R-sig-finance] Black Litterman portfolio optimization

Alberto Santini albertosantini at gmail.com
Mon Feb 23 13:19:49 CET 2009




Reena Bansal wrote:
> 
> I am looking for Black Litterman CAPM portfolio optimization
> implementation in R. 
> 

http://www.blacklitterman.org/ contains matlab implementation and in-depth
paper details.

Regards,
Alberto

-- 
View this message in context: http://www.nabble.com/Black-Litterman-portfolio-optimization-tp22108227p22160510.html
Sent from the Rmetrics mailing list archive at Nabble.com.



More information about the R-SIG-Finance mailing list