cardiel | portfolio managers : use the Black-Litterman model

cardiel is a Python library. cardiel has no bugs, it has no vulnerabilities and it has low support. However cardiel build file is not available. You can download it from GitHub.

This script is a tool for portfolio managers to input their market forecasts using the Black-Litterman (BL) method, and then use the resulting return vector and covariance matrix estimates as input for optimal portfolio allocations under several different portfolio optimization methods. The Black-Litterman model is a mathematically consistent way to combine a portfolio manager's views on future asset return distributions as a Bayesian prior, which combined with historical market data, produces a posterior distribution for asset returns and covariances. This is particularly useful, because a portfolio manager may have a view or forecast on individual securities, and a model like BL is required to propogate that view to other securities through an updated covariance matrix and expected return vector. If you have a view on one security, that implies you have a view on other securities because they are all correlated to varying degrees!. This tool will query market data for any security supported by Yahoo! Finance and can also be used with proprietary data in a CSV file. The BL return vector and covariance matrix serve as inputs to any standard portfolio optimization methodology, such as Markowitz mean-variance optimization under a variety of utility functions. This tool calculates the optimal portfolio allocations using several methodologies and presents them simultaneously for side-by-side comparison, which helps guide a portfolio manager's decision to adjust the portfolio allocation.