An implementation of the Black-Litterman Model and Atilio Meucci's copula opinion pooling framework.

Documentation

Manual: BLCOP.pdf
Vignette: "Overview of the BLCOP package"

Maintainer: Ava Yang <ayang at mango-solutions.com>

Author(s): Francisco Gochez, Richard Chandler-Mant, Suchen Jin, Jinjing Xie

Install package and any missing dependencies by running this line in your R console:

install.packages("BLCOP")

Depends methods, MASS, quadprog
Imports RUnit(>=0.4.22), timeSeries, fBasics, fMultivar, fPortfolio(>=3011.81)
Suggests sn, corpcor, mnormt
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Package BLCOP
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Version 0.3.1
Published 2015-02-04
License GPL-3
BugReports
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NeedsCompilation no
Citation
CRAN checks BLCOP check results
Package source BLCOP_0.3.1.tar.gz