Closed cemozerr closed 3 years ago
I do want to say @robertmartin8, I appreciate your work, it is an amazing library. Just curious if you have any idea why this bug might be arising. I'd be glad to make the fix.
Hi @cemozerr,
Apologies for the slow reply. This is explained in the docs here. Let me know if there are additional questions!
Cheers, Robert
Describe the bug
tau
value does not affect the weight-on-views when theomega
value is not provided in the Black-Litterman Model.Expected behavior A user might want to pass both absolute and relative views to the
BlackLittermanModel
by passing arguments bothP
andQ
, and might not want to explicitly provideomega
. In that scenario, the user should be able to adjust the weight to these views by providing thetau
value. Yet, thetest_bl_tau
intest_black_litterman.py
only passes when passing in an explicitomega
.Code sample I've updated the
test_bl_tau()
to consumeP
andQ
instead ofabsolute_views
and/oromega
, and it fails the test.Update Generally, changing the
tau
does not seem to be affecting anything in black litterman model unless you explicitly provide omega.Operating system, python version, PyPortfolioOpt version e.g MacOS 11.4, python 3.9.2, PyPortfolioOpt 1.4.2