quantlab.portfolio.predefined

Modules

active_risk	Mean-variance on active risk against a benchmark: ActiveRiskOptimizer.
approximate
black_litterman	Black-Litterman on a factor risk model: BlackLittermanOptimizer.
expected_return	The shipped expected return models of the mean-variance rule (ADR 0046).
factor_risk	A covariance estimator turning a factor risk model's context into its forecast: B F B' + diag(D) at each bar.
ledoit_wolf	A Ledoit-Wolf shrunk sample covariance of trailing one-bar returns.
mean_variance	Markowitz mean-variance weights with a turnover penalty, solved with cvxpy.
top_n	Equal-weight top-n selection, the simplest portfolio construction rule.
topk_dropout	Qlib's TopkDropout: hold topk names and replace at most n_drop of them per rebalance.