PortfolioConstructionModel#

tradeexecutor.strategy.qstrader.portfolio_construction_model.PortfolioConstructionModel class.

class PortfolioConstructionModel[source]#

Bases: object

Portfolio construction model.

Encapsulates the process of generating a target weight vector for a universe of assets, based on input from an AlphaModel, a RiskModel and a TransactionCostModel.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)[source]#
Parameters

Methods

__init__(universe, state, order_sizer, ...)

get_all_prices()

Get prices for all asssets.

__init__(universe, state, order_sizer, optimiser, pricing_model, reserve_currency, alpha_model, risk_model=None, cost_model=None)[source]#
Parameters
get_all_prices()[source]#

Get prices for all asssets.