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BLCOP

R-CMD-check

The {BLCOP} package is an implementation of the Black-Litterman and copula opinion pooling frameworks. The Black-Litterman model was devised in 1992 by Fisher Black and Robert Litterman. Their goal was to create a systematic method of specifying and then incorporating analyst/portfolio manager views into the estimation of market parameters.

Installation

You can install the released version of BLCOP from CRAN with:

install.packages("BLCOP")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("MangoTheCat/BLCOP")

Example

library(BLCOP)

# For a matrix of monthly returns for 6 assets
head(monthlyReturns)
#>                     IBM          MS        DELL             C          JPM          BAC
#> 1998-02-02  0.057620253  0.19578623  0.40667739  0.1224778047  0.157384084  0.143954576
#> 1998-03-02 -0.005457679  0.04383326 -0.51565628  0.0785547367  0.087215863  0.064817518
#> 1998-04-01  0.115529027  0.08233841  0.19188192  0.0198333333  0.027283511  0.041952290
#> 1998-05-01  0.014067489 -0.01027006  0.02055728  0.0009805524 -0.018908776 -0.006578947
#> 1998-06-01 -0.022893617  0.17050986  0.12619828 -0.0101224490 -0.444607915  0.015761589
#> 1998-07-01  0.154080655 -0.04717084  0.17002478  0.1091868712  0.001589404  0.039900900

# Define a pick matrix (a vector of confidences)
pickMatrix <- matrix(c(1/2, -1, 1/2, 0, 0, 0), 
                     nrow = 1, 
                     ncol = 6)

# Create a views object
views <- BLViews(P = pickMatrix,
                 q = 0.06, 
                 confidences = 100,
                 assetNames = colnames(monthlyReturns))

# Determine the posterior distribution of these assets
BLPosterior(monthlyReturns, views, tau = 1/2, marketIndex = sp500Returns)
#> Prior means:
#>          IBM           MS         DELL            C          JPM          BAC 
#>  0.002269870  0.005799591 -0.001161339  0.001718354 -0.009042287  0.005472691 
#> Posterior means:
#>          IBM           MS         DELL            C          JPM          BAC 
#>  0.009795730 -0.016744179  0.014453759 -0.004741680 -0.015465517  0.001505639 
#> Posterior covariance:
#>              IBM          MS        DELL           C        JPM         BAC
#> IBM  0.022113337 0.011762652 0.013388809 0.009418743 0.01189892 0.006017050
#> MS   0.011762652 0.033040555 0.018441735 0.014076656 0.01650328 0.009143918
#> DELL 0.013388809 0.018441735 0.048344919 0.008453909 0.01088555 0.005957519
#> C    0.009418743 0.014076656 0.008453909 0.017307957 0.01246270 0.007215142
#> JPM  0.011898924 0.016503281 0.010885549 0.012462701 0.03032755 0.012937189
#> BAC  0.006017050 0.009143918 0.005957519 0.007215142 0.01293719 0.011893184

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.