I tried to implement Black-Litterman model. I have a covariance matrix, market capitalization for each asset. I assume a risk aversion factor to be 10. First I use the following code to get ...
In an attempt to learn Black-Litterman I have come across this "simple" example. Suppose that you analyze market data using CAPM $$r_i-r_f=\beta_i(r_m-r_f)+\epsilon_i$$ Suppose there are 2 assets in ...