5/29/2023 0 Comments Black litterman excel downloadcov_matrix ( pd.DataFrame or np.ndarray) – NxN covariance matrix of returns._init_ ( cov_matrix, pi=None, absolute_views=None, Q=None, P=None, omega=None, view_confidences=None, tau=0.05, risk_aversion=1, **kwargs ) ¶ Parameters: save_weights_to_file() saves the weights to csv, json, or txt.clean_weights() rounds the weights and clips near-zeros.set_weights() creates self.weights (np.ndarray) from a weights dict.portfolio_performance() calculates the expected return, volatilityĪnd Sharpe ratio for the allocated portfolio.bl_weights() - weights implied by posterior returns.bl_cov() - posterior estimate of covariance.bl_returns() - posterior estimate of returns.idzorek_method() - convert views specified as percentages into BL uncertainties.default_omega() - view uncertainty proportional to asset variance.
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