[R-SIG-Finance] How to determine the efficient frontier portfolios using the Black-Litterman model?

jaosma javier.ospinom at gmail.com
Mon Sep 26 17:27:48 CEST 2011


I'm trying to find 50 portfolios on the efficient frontier using the
Black-Litterman model but have not found a suitable method for doing so. I
tried using the "portfoliosFrontier" function given in the package
fPortfolio using the "optimalPortfolios.fPort" function on package "BLCOP"
but does not provide satisfactory results

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