Uncertainty in views in the blacklitterman_stats

[aliencaocao]

Hi, I want to use the black litterman model for portfolio, but according to the equation, there should be this omega term that is a matrix of the uncertainty of each view. However, I have no idea how to specify this uncertainty in riskfolio lib, using the assets_views function or any other function. The example code only have 'return'. Thank you

Talking about the term "the covariance matrix of the error views." here

[dcajasn]

Hi @aliencaocao,

That parameter is calculated following the paper specified in docs.

Best,
Dany

[aliencaocao]

Hi, the first paper (B4) is paid, so can I just double confirm its calculated in this way:

S is covariance matrix of asset returns from historical data
Thanks!

[dcajasn]

For paid papers try sci-hub.