BLModel

R package BLModel: Black-Litterman Posterior Distribution. Posterior distribution in the Black-Litterman model is computed from a prior distribution given in the form of a time series of asset returns and a continuous distribution of views provided by the user as an external function.

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References in zbMATH (referenced in 1 article )

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  1. Palczewski, Andrzej; Palczewski, Jan: Black-Litterman model for continuous distributions (2019)