BLCOP: Black-Litterman and Copula Opinion Pooling Frameworks
An implementation of the Black-Litterman Model and Attilio Meucci's copula opinion pooling framework as described in Meucci, Attilio (2005) <doi:10.2139/ssrn.848407>, Meucci, Attilio (2006) <doi:10.2139/ssrn.872577> and Meucci, Attilio (2008) <doi:10.2139/ssrn.1117574>.
| Version: | 0.3.3 |
| Imports: | methods,MASS,quadprog,RUnit (≥ 0.4.22),timeSeries,fBasics,fMultivar,fPortfolio (≥ 3011.81),rmarkdown,knitr |
| Suggests: | sn,corpcor,mnormt |
| Published: | 2021-01-25 |
| DOI: | 10.32614/CRAN.package.BLCOP |
| Author: | Francisco Gochez [aut], Richard Chandler-Mant [aut], Suchen Jin [aut], Jinjing Xie [aut], Ava Yang [ctb] (Previous maintainer), Joe Russell [cre] |
| Maintainer: | Joe Russell <jrussell at mango-solutions.com> |
| BugReports: | https://github.com/mangothecat/BLCOP/issues |
| License: | MIT + fileLICENSE |
| URL: | https://github.com/mangothecat/BLCOP |
| NeedsCompilation: | no |
| Materials: | README,NEWS |
| CRAN checks: | BLCOP results |
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