Black-Litterman Model for Optimal Asset Allocation

black_litterman.py

import numpy as np

from pypfopt.black_litterman import BlackLittermanModel
from pypfopt.efficient_frontier import EfficientFrontier
from pypfopt import plotting

from openbb_terminal.sdk import openbb
import seaborn as sns
sns.set_theme()

prices = openbb.economy.index(["AAPL", "BBY", "BAC", "SBUX", "T"])

viewdict = {
    "AAPL": 0.20, 
    "BBY": 0.25,
    "BAC": 0.10,
    "SBUX": 0.2,
    "T": 0.15
}

cov_matrix = risk_models.sample_cov(prices)

bl = BlackLittermanModel(
cov_matrix,
absolute_views=viewdict,
pi="equal"
)

rets = bl.bl_returns()
ef = EfficientFrontier(rets, cov_matrix)
weights = bl.bl_weights()

plotting.plot_efficient_frontier(ef, show_tickers=True)