[R] Frontier efficient using black litterman model In R

mukesh surywanshi mukesh0290 at gmail.com
Tue Mar 3 07:34:17 CET 2015

I'm working on getting frontier efficient plot using Black Litterman model.

I have used Blcop package and its function


using this i have got optimal risk and return with weights

If i want to get 10 portfolio risk and return with corresponding weights,,,
how to do it>?
 can anyone help me....

my code goes like this
posterior <- posteriorEst(views, tau = 0.025, meanret, covar)

cons <- c("minW[1:numtk] = rep(0, times = numtk)", "maxW[1:numtk] =
rep(0.50, times = numtk)","minsumW[1:numtk] = 0","maxsumW[1:numtk] = 1")
#"listF = list(lowerExtension, upperExtension)")

spec=portfolioSpec(),constraints=cons,optimizer =
"minriskPortfolio",numSimulations  = 10)


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