Package org.drip.portfolioconstruction.bayesian

Black Litterman Bayesian Portfolio Construction
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BlackLittermanCombinationEngine
    BlackLittermanCombinationEngine implements the Engine that generates the Combined/Posterior Distributions from the Prior and the Conditional Joint R1 Multivariate Normal Distributions.
    BlackLittermanCustomConfidenceOutput
    BlackLittermanCustomConfidenceOutput holds the Outputs generated from a Custom Confidence Black Litterman Bayesian Combination Run.
    BlackLittermanOutput
    BlackLittermanOutput holds the essential Outputs generated from either a Full or a Custom Confidence of the Projection Black Litterman Bayesian Combination Run.
    MeucciViewUncertaintyParameterization
    MeucciViewUncertaintyParameterization demonstrates the Meucci Parameterization for the View Projection Uncertainty Matrix.
    PriorControlSpecification
    PriorControlSpecification contains the Black Litterman Prior Specification Settings.
    ProjectionExposure
    ProjectionExposure holds the Projection Exposure Loadings that Weight the Exposure to the Projection Pick Portfolio.
    ProjectionImpliedConfidenceOutput
    ProjectionImpliedConfidenceOutput holds the Results of the Idzorek 2005 Black Litterman Intuitive Projection Confidence Level Estimation Run.
    ProjectionSpecification
    ProjectionSpecification contains the Black Litterman Projection Specification Settings.