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I'm interested in implementing the Black-Litterman model for expected returns (equation (1) in here). The model has a lot of moving parts but I think that it can all be contained in a simple function such as black_litterman_return()
. If it's useful/interesting/desired, I can make a PR.
jjphung, Busteren, matthewfieger, jledesmapadilla, tonys20 and 1 more
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enhancementNew feature or requestNew feature or request