Black -Litterman Model

Does anyone know if the Black Litterman Model for Optimization has been
implemented in R?

If in S would help also, and if in S how mushc would be involved in
converting into an R package?

Black Litterman option pricing is certainly implemented in R.

However, I *think* you are talking about the extended Black Litterman 
models often applied to CAPM portfolio optimization.  I am not aware of 
anyone publishing code for an extended Black Litterman portfolio 
optimization model in R.  I've looked at it a couple of times, but never 
implemented it.

In the future, it would help if you would cite a reference that you are 
using as the basis for your question (web page, book, paper, etc.).  It 
would help list members to evaluate your request.

Regards,

   - Brian

Thanks Brian for timely response.

Precisely... regarding CAPM and Optimization even though CAPM is a
little dated.
Good point about citing a reference, something I usually always do
when responding to questions from others.

Here is two citations that is a decent start regarding BL Model:
http://www.mccombs.utexas.edu/faculty/keith.brown/ChileMaterial/Idzorek%
20WP

http://www.fmpm.ch/files/2001_01_Drobetz.PDF


The more recent approach is Arbitrage Pricing Theory (APT):
CITATIONS:
Ross and Roll Paper:
http://www.cfapubs.org/doi/pdf/10.2469/faj.v51.n1.1868?cookieSet=1

William Goetzman Comments on APT:
http://viking.som.yale.edu/will/finman540/classnotes/class6.html

One more on APT
http://www.ny.frb.org/research/economists/wang/APT-Huberman-Wang.pdf


Regards,
Neil



 

-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com] 
Sent: Tuesday, October 09, 2007 1:41 PM
To: Gottlieb, Neil; r-sig-Finance
Subject: Re: [R-SIG-Finance] Black -Litterman Model

Does anyone know if the Black Litterman Model for Optimization has 
been implemented in R?

If in S would help also, and if in S how mushc would be involved in 
converting into an R package?

Black Litterman option pricing is certainly implemented in R.

However, I *think* you are talking about the extended Black Litterman
models often applied to CAPM portfolio optimization.  I am not aware of
anyone publishing code for an extended Black Litterman portfolio
optimization model in R.  I've looked at it a couple of times, but never
implemented it.

In the future, it would help if you would cite a reference that you are
using as the basis for your question (web page, book, paper, etc.).  It
would help list members to evaluate your request.

Regards,

   - Brian
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