How to determine the efficient frontier portfolios using the Black-Litterman model?
On Mon, 2011-09-26 at 08:27 -0700, jaosma wrote:
I'm trying to find 50 portfolios on the efficient frontier using the Black-Litterman model but have not found a suitable method for doing so. I tried using the "portfoliosFrontier" function given in the package fPortfolio using the "optimalPortfolios.fPort" function on package "BLCOP" but does not provide satisfactory results
BLCOP is the only package with well-developed Black Litterman functionality. Perhaps you could provide a reproducible example using publicly available data so that the list can provide more guidance? Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock