HF RL Explorer

Black-Litterman with Regime-Switching HMM

Black-Litterman with Regime-Switching HMM: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given daily returns for 5 asset classes over 1260 trading days, market-cap weights, and a list of investor views with confidence levels. Build a regime-aware…

The task

You are given daily returns for 5 asset classes over 1260 trading days, market-cap weights, and a list of investor views with confidence levels. Build a regime-aware Black-Litterman portfolio:

Part of codeslord/skilltrainbench-public.