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Download Now!Black-Litterman model
Submitter: vanna Date: 2007/1/21
Description:
This class encapsulates the top level Black-Litterman functionality in terms of backing the risk version out of the market portfolio, and then on to calculating the expected return with views. There is also the extension defined by Idzorek to specify view confidence in percent. Includes mean variance optimizer with mutliple optimization algorithms, plus entropy/diversitification constraints. @author Jay Walters

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