quantlab.portfolio.predefined.approximate

Modules

black_litterman	The approximate backtest's Black-Litterman: the posterior per bar ahead of the mean-variance kernels.
covariance	The approximate backtest's batched covariance estimates: every decision bar's at once, in low-rank form.
mean_variance	The approximate backtest's mean-variance: every decision bar's Markowitz weights in compiled code.
top_n	The approximate backtest's top-n: every decision bar's equal-weight book at once.
topk_dropout	The approximate backtest's TopkDropout: the decision bars solved forward, the book drifting between them.