Open nathanramoscfa opened 1 year ago
Can you specify the investor views i.e. Asset A annual return is x% with y% confidence? The BLM takes the views and adjusts the prior based on the given correlation between the asset classe's returns. I might able to help with a little bit more context how you implement these views.
What are you trying to do? I am using the Black-Litterman module to forecast expected returns given a covariance matrix (computed with oracle-approximation method), and my investor views. Isn't the posterior return supposed to be between the prior return and the investor view? Why would it not be? Could it be because I am computing the covariance matrix using the oracle-approximation method?
What have you tried? I see the same thing happening even if I use the sample_cov method to compute the covariance method.
What data are you using? Here are the funds I am looking at, and their prior, view, and posterior returns using the Black-Litterman method with covariance matrix computed with oracle-approximation method.