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…_mkts Correct mathematical and code errors, apply QuantEcon style, and add three exercises with dropdown solutions to each lecture. black_litterman: - Fix the T operator closed form, relative entropy definition, robust objective display, Leamer program, regularization mapping, ridge matrix, standardization, and the appendix variance bound; add the closed form for B(h) - Explain the role of tau, note that robustness rescales positions without changing signs, correct the sampling-frequency direction, cite Merton (1980), seed the Numba Monte Carlo, and use d_m for the Black-Litterman weights BCG_complete_mkts: - Fix the Arrow price formula, consumer Lagrangian and FOCs, allocation subscripts, and shock/loading ranges; correct code comments and labels - Distinguish the market value of securities from net firm value, fix a forward reference, call chi_i loadings, and interpret the 3D figure BCG_incomplete_mkts: - Fix dp/dk, default-state bond payoffs, notation slips, and the off_eq_check integrand; add Makowski (1983) citation - Warn when the equilibrium hits a corner, clarify the role of Eqn2, sharpen the comfort check and stability wording, fix the density grid, clip the default threshold, and delete dead commented-out code Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
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🔵 Needs a closer look
The PR makes broad, math-heavy changes across multiple lectures (including executable code cells) that should be validated by a full build/run by a human reviewer.
Pull request overview
This PR revises three QuantEcon-style lecture notebooks to correct mathematical derivations, fix/clarify accompanying Python code, and extend the pedagogy with new exercises (including dropdown solutions), plus adds supporting bibliography entries.
Changes:
- Updates Black–Litterman and robust-control exposition (math corrections, clearer interpretation of parameters like
τ, improved simulations, and new exercises/solutions). - Corrects incomplete- and complete-markets BCG lecture derivations and code (pricing/payoff formulas, equilibrium-check logic, numerical safeguards, clearer narrative).
- Adds new citations to the shared BibTeX database to support the updated text.
File summaries
| File | Description |
|---|---|
| lectures/black_litterman.md | Fixes/clarifies BL + robustness math, improves simulation reproducibility, and adds 3 exercises with dropdown solutions. |
| lectures/BCG_incomplete_mkts.md | Corrects payoff/FOC expressions and strengthens equilibrium verification + stability discussion; adds exercises/solutions. |
| lectures/BCG_complete_mkts.md | Corrects Arrow pricing / planner-consumer equations and updates code/documentation; adds exercises/solutions. |
| lectures/_static/quant-econ.bib | Adds Makowski (1983) and Merton (1980) bibliography entries referenced by the lectures. |
Review details
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- Comments generated: 1
- Review effort level: Lite
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Co-authored-by: Copilot Autofix powered by AI <175728472+Copilot@users.noreply.github.com>
BCG_complete_mkts: call V-tilde + pb the market value of the firm's securities in exercise 1, matching the lecture body; fix four typos. BCG_incomplete_mkts: let the exercise helper pass on solve_eq's corner warning instead of swallowing it; print k and b where the prose quotes them; drop three leftover commented-out lines. black_litterman: use mu_BL and delta_m consistently, replace the undefined w_BL with w_m, and use gamma_h(k) in the Bartlett sum. Co-Authored-By: Claude Fable 5.1 <noreply@anthropic.com>
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…_mkts
Correct mathematical and code errors, apply QuantEcon style, and add three exercises with dropdown solutions to each lecture.
black_litterman:
BCG_complete_mkts:
BCG_incomplete_mkts: