/blacklitterman

Black-Litterman with MVO program for asset allocation (ETF)

Primary LanguageJupyter NotebookMIT LicenseMIT

blacklitterman

Black-Litterman with MVO program for asset allocation (ETF)

Investors' views -> Linear Regression Slope

180 days market data

MVO for maximizing Sharpe ratio of Portfolio with L1 Regulation

assets were selected for a certain investment contest