Estimators {BLCOP} | R Documentation |
These functions are not intended to be called directly by the user but exist to allow third party optimizer routines to access prior and posterior estimators calculated as part of the portfolio optimisation.
getPriorEstim(x, spec=NULL, ...)
getPosteriorEstim(x, spec=NULL, ...)
x |
multivariate time series |
spec |
optional portfolio specification |
... |
additional arguments |
A list with 2 elements:
mu |
estimate of mean |
Sigma |
estimate of covariance |
Richard Chandler-Mant <rchandler-mant@mango-solutions.com>