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

[R@Nabble]

Hi Reena,

As Francisco knows, I've been using his BLCOP package, and take its output,
posteriors for example, as input into other packages like the fPortfolio
package. Any improvement is welcome of course, but I think BLCOP works fine
already. I suggest you just start playing around with it.

PS

Francisco Gochez wrote:
> 
> 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
> 
> 	[[alternative HTML version deleted]]
> 
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