Papers › Integrating LLM-Generated Views into Mean-Variance Optimization Using the Black-Litterman Model

Integrating LLM-Generated Views into Mean-Variance Optimization Using the Black-Litterman Model

19 Apr 2025arXiv:2504.14345archive 2025-07-28

Youngbin Lee, Yejin Kim, Suin Kim, YongJae lee

Portfolio optimization faces challenges due to the sensitivity in traditional mean-variance models. The Black-Litterman model mitigates this by integrating investor views, but defining these views remains difficult. This study explores the integration of large language models (LLMs) generated views into portfolio optimization using the Black-Litterman framework. Our method leverages LLMs to estimate expected stock returns from historical prices and company metadata, incorporating uncertainty through the variance in predictions. We conduct a backtest of the LLM-optimized portfolios from June 2024 to February 2025, rebalancing biweekly using the previous two weeks of price data. As baselines, we compare against the S&P 500, an equal-weighted portfolio, and a traditional mean-variance optimized portfolio constructed using the same set of stocks. Empirical results suggest that different LLMs exhibit varying levels of predictive optimism and confidence stability, which impact portfolio performance. The source code and data are available at https://github.com/youngandbin/LLM-MVO-BLM.

Code

Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.

Code Syntology ran Syntology

Not run by Syntology. Nothing on this page verifies that the listed code works.

Tasks

Results from the paper archive 2025-07-28

No leaderboard rows for this paper in the archive.

Methods

Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections