This repository contains source code for the paper "Black-Litterman Model on Normal Variance-Mean Mixture" by Aaron Y.S. Kim (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5226679)

1. To obtain the prior distribution, execute proc_paramest_mnts.py
2. KS test for the prior distribution is implemented in proc_kstest.py
3. Implied Equilibrium Return is obtained by proc_ImpExcEquRet_CVaRNTS.py
4. Portfolio optimization based on the prior distribution is performed in proc_PortOpt_Prior_BL_NTS.py
5. Portfolio optimization on the BL posterior distribution under the NTS framework is done in proc_PortOpt_BL_NTS.py
6. Executing proc_FigureOut_AssetAllocation.py, you can obtain the figures in the fig directory.