Black-Litterman Posterior Distribution
Computes the Black-Litterman posterior distribution.
Solves the inverse optimization to mean-risk standard optimization pro...
Example of distribution of views -- normal distribution
Example of distribution of views -- power exponential distribution
Example of distribution of views -- Student t-distribution
Posterior distribution in the Black-Litterman model is computed from a prior distribution given in the form of a time series of asset returns and a continuous distribution of views provided by the user as an external function.