Python Quantization - Black-Litterman Model

introduce

The Black-Litterman modelDeveloped by Fischer Black and Robert Litterman in 1992, it uses a Bayesian approach to asset allocation. The model optimizes allocation weights by combining previous return estimates (which can be derived from multiple sources) and incorporating investors' unique expectations for future returns.

   

At its core, the Black-Litterman model calculates a weighted average of previous estimates of returns and the specific views investors hold on each asset. The weighting is based on an investor's level of confidence in each view, which allows for a more personalized investment strategy.

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A common approach to determining ex-ante estimated returns involves relying on market expectations&#x

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Origin blog.csdn.net/qq_41929396/article/details/134414721