Skip to content

Latest commit

 

History

History
25 lines (15 loc) · 1.02 KB

README.md

File metadata and controls

25 lines (15 loc) · 1.02 KB

Black Litterman Model

Black-Litterman Model Implementation

This repository contains a comprehensive implementation of the Black-Litterman Model, a financial portfolio optimization framework. The model integrates market equilibrium with subjective investor views, offering a robust and practical approach to constructing diversified portfolios.

Features

  • Implied Equilibrium Returns Calculation: Compute the equilibrium returns based on market capitalization weights.
  • Integration of Investor Views: Incorporate absolute and relative views into the model to adjust the equilibrium returns.
  • Black-Litterman Expected Returns: Derive adjusted returns combining equilibrium and investor views.
  • Mean-Variance Optimization (MVO): Optimize portfolio weights using the adjusted returns.
  • Visualization: Graphical representation of portfolio weights and expected returns.

How to Use

Prerequisites

  1. Python 3.8 or higher.
  2. Install required libraries: 
    pip install -r requirements.txt