BlackLittermanFormula.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/black_litterman.R
\name{BlackLittermanFormula}
\alias{BlackLittermanFormula}
\title{Computes the Black-Litterman formula for the moments of the posterior normal.}
\usage{
BlackLittermanFormula(Mu, Sigma, P, v, Omega)
}
\arguments{
\item{Mu}{[vector] (N x 1) prior expected values.}

\item{Sigma}{[matrix] (N x N) prior covariance matrix.}

\item{P}{[matrix] (K x N) pick matrix.}

\item{v}{[vector] (K x 1) vector of views.}

\item{Omega}{[matrix] (K x K) matrix of confidence.}
}
\value{
BLMu     [vector] (N x 1) posterior expected values.

BLSigma  [matrix] (N x N) posterior covariance matrix.
}
\description{
This function computes the Black-Litterman formula for the moments of the posterior normal, as described in  
A. Meucci, "Risk and Asset Allocation", Springer, 2005.
}
\references{
A. Meucci - "Exercises in Advanced Risk and Portfolio Management" \url{https://www.arpm.co/articles/exercises-in-advanced-risk-and-portfolio-management/}.

See Meucci's script for "BlackLittermanFormula.m"
}
\author{
Xavier Valls \email{[email protected]}
}