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.