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    BL.COV
    In This Topic
    Returns the (posterior) covariance matrix of the Black-Litterman master formula

    ARGUMENTS

    P A matrix [#Views x #Assets] with investors views Matrix
    Sigma [#Assets x #Assets] Covariance of Asset Matrix
    Omega [#Views x #Views] A matrix of uncertainty in each view Matrix
    Tau The uncertainty of the CAPM distribution Real number

     

     

    XlQuant version : 1.0.16.0