[R-SIG-Finance] How to determine the efficient frontier portfolios using the Black-Litterman model?

[Brian G. Peterson]

On Mon, 2011-09-26 at 08:27 -0700, jaosma wrote:
> I'm trying to find 50 portfolios on the efficient frontier using the
> Black-Litterman model but have not found a suitable method for doing
> so. I tried using the "portfoliosFrontier" function given in the
> package fPortfolio using the "optimalPortfolios.fPort" function on
> package "BLCOP" but does not provide satisfactory results 

BLCOP is the only package with well-developed Black Litterman
functionality.

Perhaps you could provide a reproducible example using publicly
available data so that the list can provide more guidance?

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock