BLCOP: prior implied weights?

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BLCOP: prior implied weights?

Cren
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# Hi all,

# I'm taking a look at the great BLCOP package by
# Francisco Gochez, but I'm a bit confused about
# the following topic:

# according to BL framework, one sets the 'market
# weights' (e.g. according to market cap), estimates
# the risk aversion coefficient 'lambda' (like Sharpe
# ratio) and calculates prior market returns 'R' by

# R <- lambda * Sigma %*% w

# where 'Sigma' is the covariance matrix of asset returns
# and 'w' is the market cap weights' array.

# I'm not able to find this feature anywhere in BLCOP:
# in each example one must specify prior returns
# instead of setting risk aversion coefficient and let
# the above formula returns 'R'.

# Do I have to make it on my own or am I just
# ignoring any feature?

# Thanks,