Robert Bach

Can you use a different way to generate the dictionary? try ```python IAC = dict(SPY = 1.3, AGG = -0.3) ``` Also it would be useful if you can copy...

Can you provide a specific error type? What is the message and how I can recreate the error? Also please specify the dependency versions. That could help

For the model to work properly, you need a well-diversified portfolio. One way to select asset classes is to create a factor portfolio, i.e., select asset classes that represent risk...

This is a tricky question. The application of the modern portfolio theory is to "Optimize" your target functions. It can take many forms: Minimize risk, Maximize returns, Maximize Sharpe ratio...

Can you specify the investor views i.e. Asset A annual return is x% with y% confidence? The BLM takes the views and adjusts the prior based on the given correlation...

Have you considered increasing the number of samples for your random portfolios? One hundred seems rather small. Typically, in the Monte Carlo simulation approach, starting with 100,000 samples is advisable....

Idzorek paper actually has $\tau$ in the formula for the Omega matrix - formula 8. In the paper, he assumed that $\tau = 0.025$ but you can take arbitrarily any...

It looks like the target for your risk parameter is unattainable with the given covariance matrix and return vector. Can you give me more context e.g. the number of assets,...

I have the same problem on my mac m1 as well. Looking for update to fix this problem

Hi @avhz and @ambadidi Are you guys still working on this? I built a asian option pricer in python and I am learning Rust. I think I can contribute to...