I was hoping someone could provide an example code of a strategy utilizing this portfolio construction method.
Best,
Josh
QUANTCONNECT COMMUNITY
I was hoping someone could provide an example code of a strategy utilizing this portfolio construction method.
Best,
Josh
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Rahul Chowdhury
Hi Josh,
There is an example algorithm in the Lean repository which uses the
BlackLittermanPortfolioConstructionModel.
It also implements the HistoricalReturnsAlphaModel.
The BlackLittermanPortfolioConstructionModel needs to receive insights with a magnitude that represents the "view" on the market,
Best
Rahul
PauPadilla Greendry
Hello Josh! Do you have a more complex example? I cant find how to structure well this model and that sample is very basic :(
Derek Melchin
Hi Pau,
The attached backtest shows another example of using the BlackLittermanOptimizationPortfolioConstructionModel. We've created a custom alpha model class to highlight that this PCM uses the insight magnitude to optimize the portfolio allocations.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
PauPadilla Greendry
Thank you so much Derek! I will take a look and back for further questions!
Josh M
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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