2cfa771a3207863a4dab8219e3ab12d42837ab35,pypfopt/black_litterman.py,BlackLittermanModel,bl_returns,#BlackLittermanModel#,261

Before Change

        // Solve the linear system rather thatn invert everything
        A = tau_sigma_inv + P_omega_inv @ self.P
        b = tau_sigma_inv.dot(self.pi) + P_omega_inv.dot(self.Q)
        x = np.linalg.solve(A, b)
        return pd.Series(x.flatten(), index=self.tickers)

    def bl_cov(self):
        

After Change

        if self._A is None:
            self._A = (self.P @ self._tau_sigma_P) + self.omega
        b = self.Q - self.P @ self.pi
        post_rets = self.pi + self._tau_sigma_P @ np.linalg.solve(self._A, b)
        return pd.Series(post_rets.flatten(), index=self.tickers)

    def bl_cov(self):
        

Instances