optimize_black_litterman
Optimizes portfolio allocations by blending market equilibrium returns with custom investor views, producing stable, realistic weights through Black-Litterman methodology.
Instructions
Black-Litterman portfolio optimization combining market equilibrium with investor views for more realistic and stable portfolio allocations
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| tau | No | Prior uncertainty parameter (typically 0.01-0.1, default: 0.05) | |
| views | No | Array of investment views to incorporate | |
| symbols | Yes | Array of stock symbols for portfolio optimization (e.g., ['AAPL', 'MSFT', 'GOOGL']) | |
| risk_aversion | No | Risk aversion parameter (typical range: 1-10, default: 3) | |
| analysis_period | No | Number of trading days for covariance estimation (default: 252 = 1 year) | |
| use_market_data | No | Use real market data for optimization | |
| view_confidence | No | Confidence levels for each view (overrides individual view confidence) | |
| market_cap_source | No | Source for market capitalization weights | api |
| custom_market_caps | No | Custom market capitalizations when market_cap_source is 'custom' | |
| include_comparison | No | Include comparison with market portfolio | |
| auto_generate_views | No | Automatically generate views from technical/fundamental analysis |