Package: BLCOP 0.3.3

Joe Russell

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>.

Authors:Francisco Gochez [aut], Richard Chandler-Mant [aut], Suchen Jin [aut], Jinjing Xie [aut], Ava Yang [ctb], Joe Russell [cre]

BLCOP_0.3.3.tar.gz
BLCOP_0.3.3.zip(r-4.5)BLCOP_0.3.3.zip(r-4.4)BLCOP_0.3.3.zip(r-4.3)
BLCOP_0.3.3.tgz(r-4.4-any)BLCOP_0.3.3.tgz(r-4.3-any)
BLCOP_0.3.3.tar.gz(r-4.5-noble)BLCOP_0.3.3.tar.gz(r-4.4-noble)
BLCOP_0.3.3.tgz(r-4.4-emscripten)BLCOP_0.3.3.tgz(r-4.3-emscripten)
BLCOP.pdf |BLCOP.html✨
BLCOP/json (API)
NEWS

# Install 'BLCOP' in R:

install.packages('BLCOP', repos = c('https://mangothecat.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/mangothecat/blcop/issues

Datasets:

US13wTB - Risk free rate of return
monthlyReturns - Monthly equity returns
sp500Returns - S&P500 Returns

On CRAN:

36 exports 5 stars 5.36 score 72 dependencies 46 scripts 363 downloads

Last updated 4 years agofrom:cc166b73cd. Checks:OK: 1 NOTE: 6. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Sep 16 2024
R-4.5-win	NOTE	Sep 16 2024
R-4.5-linux	NOTE	Sep 16 2024
R-4.4-win	NOTE	Sep 16 2024
R-4.4-mac	NOTE	Sep 16 2024
R-4.3-win	NOTE	Sep 16 2024
R-4.3-mac	NOTE	Sep 16 2024

Exports:addBLViews addCOPViews assetSet BLCOPOptions BLPosterior BLViews CAPMList confidences confidences<-COPPosterior COPViews createBLViews createCOPViews deleteViews densityPlots distribution getPosteriorEstim getPriorEstim mvdistribution newPMatrix numSimulations optimalPortfolios optimalPortfolios.fPort PMatrix PMatrix<-posteriorEst posteriorFeasibility posteriorMeanCov posteriorSimulations priorViews qv<-runBLCOPTests sampleFrom show updateBLViews viewMatrix

Dependencies:base64enc bitops boot bslib cachem cli cpp11 cubature DEoptimR digest ecodist energy evaluate fAssets fastmap fBasics fCopulae fMultivar fontawesome fPortfolio fs glue gsl gss highr htmltools igraph jquerylib jsonlite kernlab knitr lattice lifecycle magrittr MASS Matrix MatrixModels memoise mime mnormt mvnormtest mvtnorm numDeriv pkgconfig quadprog quantreg R6 rappdirs Rcpp RCurl Rglpk rlang rmarkdown rneos robustbase Rsolnp RUnit sass slam sn SparseM spatial stabledist survival timeDate timeSeries tinytex truncnorm vctrs xfun XML yaml

Notes on the BLCOP Package

Francisco Gochez

Rendered fromBLCOP.Rmdusingknitr::rmarkdownon Sep 16 2024.

Last update: 2021-01-05
Started: 2021-01-05

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Monthly equity returns	monthlyReturns
Global package options	BLCOPOptions
BLposterior	BLPosterior
Class "BLResult": posterior of a market distribution in the Black-Litterman sense	BLResult-class densityPlots,BLResult-method densityPlots.BLResult optimalPortfolios.fPort,BLResult-method optimalPortfolios.fPort.BL show,BLResult-method
Class "BLViews" (Black-Litterman views)	BLViews-class deleteViews,BLViews-method show,BLViews-method
Create or add to a BLViews object	addBLViews addCOPViews BLViews COPViews newPMatrix
Compute CAPM alphas for a set of assets	CAPMList
Create or add to a view object using a graphical interface	createBLViews createCOPViews updateBLViews
Calculate the posterior distribution of the market using copula opinion pooling	COPPosterior
Class "COPResult"	COPResult-class densityPlots,COPResult-method densityPlots.COPResult optimalPortfolios.fPort,COPResult-method optimalPortfolios.fPort.COP show,COPResult-method show.COPResult
Class "COPViews" (copula opinion pooling views)	COPViews-class deleteViews,COPViews-method show,COPViews-method
Delete individual views from view objects	deleteViews
Density plots of prior and posterior distributions	densityPlots
Constructors for distribution and mvdistribution class objects	distribution mvdistribution
Class "distribution"	distribution-class
Get prior and posterior estimators stored in package scope	Estimators getPosteriorEstim getPriorEstim
Extract various fields of view or posterior objects	assetSet confidences numSimulations PMatrix posteriorMeanCov posteriorSimulations priorViews viewMatrix
Class "mvdistribution"	mvdistribution-class
Calculates optimal portfolios under prior and posterior distributions	optimalPortfolios optimalPortfolios.fPort
This function performs the "core" calculation of the Black-Litterman model.	posteriorEst
Calculate the "feasibility" of the (Black-Litterman) posterior mean	posteriorFeasibility
Various functions for modifying fields of view objects	confidences<- PMatrix<- qv<-
Execute the BLCOP unit tests	runBLCOPTests
Sample from a distribution object	sampleFrom
S\&P500 Returns	sp500Returns
Risk free rate of return	US13wTB