[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
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