quantlab.portfolio.predefined.black_litterman.MarketReturnView#

class quantlab.portfolio.predefined.black_litterman.MarketReturnView(config)[source]#

Bases: ReturnView

The user’s view on the market portfolio’s return, for BlackLittermanOptimizer.

A ReturnView whose row is the market’s factor exposures x = B' w: the market’s specific return is neglected.

Parameters:

configMarketReturnViewConfig: The view’s value and its uncertainty.

Raises:

ValueError: As ReturnView.

Examples

>>> from quantlab.portfolio.config import MarketReturnViewConfig
>>> view = MarketReturnView(MarketReturnViewConfig(annual_return=0.06, std=0.04))
>>> view.row(("market", "value"), np.array([1.0, 0.2]))
array([1. , 0.2])

config_cls#: alias of MarketReturnViewConfig

row(factor_names, market_exposures)[source]#

Return the market’s exposures x.

Examples

>>> view.row(("market",), np.array([0.9]))
array([0.9])