def returns(tickers, rate):
rets = {}
for x in tickers:
stock = yfinance.parse_yfin(prefix + x + postfix)
rets.update({x:risk_free_rate(stock, rate)})
return rets;
# Define view 2
# International Bonds will outperform US Bonds by 0.0025 with a
# confidence of 50%.
P2 = np.array([-1,1,0,0,0,0,0,0])
Q2 = np.array([0.0025])
conf2 = 0.50
# Define View 3
# US Large and Small Growth will outperform US Large and Small Value
# by 0.02 with a confidence of 65%.
P3 = np.array([0,0,0.90,-0.90,0.10,-0.10,0,0])
Q3 = np.array([0.02])
conf3 = 0.65
# Combine the views
P=np.array([P1,P2,P3])
Q=np.array([Q1,Q2,Q3]);
# Apply the views with simple Omega
Omega = np.dot(np.dot(P,tauV),P.T)
res = altblacklitterman(delta, weq, V, tau, P, Q, Omega)
display('Simple Omega',assets,res)
# Now apply the views using the Idzorek's method
tauV = tau * V
Omega = np.array([[bl_omega(conf1, P1, tauV), 0, 0],[0, bl_omega(conf2, P2, tauV), 0],[0, 0, bl_omega(conf3, P3, tauV)]])
res = altblacklitterman(delta, weq, V, tau, P, Q, Omega)
display('Idzorek Method',assets,res)
print(yfinance.parse_yfin("data/aapl.csv"))
