BLResult-class {BLCOP}R Documentation

Class "BLResult": posterior of a market distribution in the Black-Litterman sense

Description

This class holds the posterior market mean and variance-covariance matrix calculated from some prior and set of views. The original views are also returned.

Objects from the Class

Objects can be created by calls of the form new("BLResult", ...). However, it is intended that they be created by the function posteriorEst(or wrappers to that function).

Slots

views:
Object of class "BLViews". These are the original views used to calculate this posterior
tau:
Object of class "numeric". The value of "tau" used
priorMean:
Object of class "numeric": prior vector of market means
priorCovar:
Object of class "matrix": prior of the variance-covariance
posteriorMean:
Object of class "numeric": posterior mean
posteriorCovar:
Object of class "matrix": posterior variance-covariance
confIgnored:
Object of class "logical": logical flag indicating whether or not confidences-in-views were ignored.

Methods

denityPlots
signature(result = "BLResult"): Plots the marginal distributions of the asset returns under the prior and posterior distributions
show
signature(object = "BLResult"): Displays the contents of a result

Author(s)

Francisco Gochez


[Package BLCOP version 0.2.2 Index]