Closed leofionn closed 2 years ago
Hi @leofionn,
Indeed, these are 1std confidence intervals on the returns. Using these confidence intervals, the package calculates the implied standard deviation and uses those for the BL uncertainties.
Hope that clarifies!
Thank you very much for your answers, I will test it again.
I want to ask about the meaning of variables in an example: What is the meaning of the variable "intervals" in cookbook/4-Black-Litterman-Allocation.ipynb? Does a tuple contained in this list represent the target return and confidence interval of an asset?
Thank you very much for the author's open source, this BL model is much better than my own.