[R] FW: Frontier efficient using black litterman model In R

Ava Yang ayang at mango-solutions.com
Thu Mar 5 07:49:45 CET 2015

Hi Mukesh,

Glad to see someone using BLCOP.

You didn't provide a reproducible example so I assume you got a result list complete from optimalPortfolios.fPort() and wanted to obtain details of all the 10 simulations.

Short answer to your question: the function only renders the optimal value which is the mean of simulations. It is a wrapper of efficientPortfolio functions(minriskPortfolio in your example) from package fPortfolio. I believe looking deep at the source of optimalPortfolios.fPort, structure of result and slot details would help.

Best regards,


-----Original Message-----
From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of mukesh surywanshi
Sent: 03 March 2015 06:34
To: r-help at r-project.org
Subject: [R] Frontier efficient using black litterman model In R

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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