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by gtaouil
September 20th, 2006, 1:22 pm
Forum: Technical Forum
Topic: Black-litterman Model and the covariance Matrix
Replies: 0
Views: 92639

Black-litterman Model and the covariance Matrix

<t> The black - litterman model estimates the expected return using the bavesian shrinkage model (historical samples covariance matrix plus your prior view). Therefore, if there were no views regard one of the considered assets, it’s only possible to use its historical data base, which gives unstabl...
by gtaouil
September 20th, 2006, 12:30 pm
Forum: Technical Forum
Topic: Principal Component Help
Replies: 1
Views: 92687

Principal Component Help

Hi Guys,I´m looking for resourses with examples about how can I use principal component in R. I checked the R-Project site, but i didn´t find nothing interesting. somebody can help me? best regards,