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 -- View this message in context: http://r.789695.n4.nabble.com/How-to-determine-the-efficient-frontier-portfolios-using-the-Black-Litterman-model-tp3844177p3844177.html Sent from the Rmetrics mailing list archive at Nabble.com.
How to determine the efficient frontier portfolios using the Black-Litterman model?
3 messages · jaosma, Joshua Ulrich, Brian G. Peterson
As Michael asked you when you posted to R-help: "... more immediately, can you say what was unsatisfactory about the results the two mentioned packages? Specifically, minimal working example with data etc." No one can/will help you if you do not describe the issues you're having. Best, -- Joshua Ulrich ?| ?FOSS Trading: www.fosstrading.com
On Mon, Sep 26, 2011 at 10:27 AM, jaosma <javier.ospinom at gmail.com> 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 -- View this message in context: http://r.789695.n4.nabble.com/How-to-determine-the-efficient-frontier-portfolios-using-the-Black-Litterman-model-tp3844177p3844177.html Sent from the Rmetrics mailing list archive at Nabble.com.
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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