search

robertmartin8 / PyPortfolioOpt

Financial portfolio optimisation in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
https://pyportfolioopt.readthedocs.io/
MIT License
4.38k stars 940 forks source link

I want to ask about the meaning of variables in an example #386

Closed leofionn closed 2 years ago

leofionn commented 2 years ago

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? image Thank you very much for the author's open source, this BL model is much better than my own.

robertmartin8 commented 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!

leofionn commented 2 years ago

Thank you very much for your answers, I will test it again.