Black Litterman Portfolio Optimization in Python

[@manueljoaquincerezodelaroc4497]

My friend, you brought light to a my understanding of the BL model. I had stay kinda stuck in the abstract math, seeing the code is a relief. Thank you very much!

[@eminsh]

Glad it helped!

[@porelort09]

Great video, Thank you so much, greetings from Colombia 🇨🇴

[@eminsh]

Thank you! I visited Bogota in 2016, great city. Spent some time around Plaza de Bolivar and also went to the top of Monserrate. Had a really good time.

[@mateofrancoposada8213]

@@eminsh You need to visit pereira or medellin the best cities in colombia, also the most beautiful woman are there

[@toshiro6589]

Hi, LOVE what you are doing! My views are estimated on predicted dcf values. Have you tried partial correlation? You have pingouin packet that allows you that, you can also do pairwise correalation with bonfferoni adjustment for multiple comparissons. It also provides stat. significance of correlation. I also reccommend to use spearmen rho which captures nonlnear connection and do not assume normal distribution instead pearson r.

[@eminsh]

Wow huge thanks for the comment! Using dcf is a really good idea for views. I'm still a little new to all this, but you've definitely given me a lot to research more on.

[@toshiro6589]

@@eminsh we are all learning together :) wish you progress with the channel!

[@SubratTrivedi-yu3kn]

My Friend, Many Thanks for the great video of portfolio optimization using the Black Litterman Model. Can we perform the backtesting in this model like the one shown in your video of Mean Variance Portfolio Optimization, if yes can you please tell how? Thanks again.

[@aarondelarosa3146]

Excellent. You forgot to plot Efficient Frontier.

[@eminsh]

My bad. I thought I did! That’s like the whole point of the video

[@muriloklipp8560]

Hi, Can you help me adapt the code to only use market capitalization as views?

[@eminsh]

You want to use market cap data for the portion where you decide your sentiment on the stock? Could you provide a little more context? Sounds like an interesting idea

[@danielrios8427]

Excuse me, can u explain me how i can calculate those intervalos, greetings from Perú

[@carlosfranciscojimenezmoli4200]

Hello Everett, very good video, it would help me if you could pass me the python script

[@eminsh]

Glad you enjoyed the video Carlos. I'll typically commit notebooks to my github every week. You can follow me there at github.com/eminshall

[@carlosfranciscojimenezmoli4200]

@@eminsh Can you make this repository public?

[@carlosfranciscojimenezmoli4200]

I have a job regarding this model and it cuts to video at minute 6.25

[@eminsh]

Apologies for the late reply, where it cuts is a visualization of the diagonal weights array. Doesn't really have any bearing on the performance of the model. I'll go through my notebooks and commit it to Github though.

[@Interdimensional-Melodies]

Is it possible to share the code? Thanks!

[@eminsh]

I thought I put it on GitHub but I'll double check

[@marcoz4167]

@@eminsh can you give us the link to your github or google colab ? thanks