allocation 0.0.1__py3-none-any.whl

allocation-0.0.1.dist-info/METADATA

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+Metadata-Version: 2.4
+Name: allocation
+Version: 0.0.1
+Summary: Online (streaming) portfolio construction: scikit-learn / skfolio-compatible estimators over a keyed dynamic universe
+Author-email: Peter Cotton <peter.cotton@microprediction.com>
+License: MIT
+Project-URL: Homepage, https://github.com/microprediction/allocation
+Requires-Python: >=3.9
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy>=1.23
+Requires-Dist: thurstone>=0.1.0
+Provides-Extra: scale
+Requires-Dist: scipy>=1.10; extra == "scale"
+Provides-Extra: skfolio
+Requires-Dist: skfolio>=0.5; extra == "skfolio"
+Provides-Extra: test
+Requires-Dist: pytest>=7.0; extra == "test"
+Requires-Dist: scipy>=1.10; extra == "test"
+Dynamic: license-file
+
+# allocation
+
+**Online (streaming) portfolio construction.** A home for portfolio methods as
+scikit-learn / [skfolio](https://skfolio.org)-compatible estimators
+(`fit` / `partial_fit` / `predict` / `weights_`), on top of a keyed
+dynamic-universe layer so they survive reconstituting universes.
+
+```python
+from allocation import ThurstonePortfolio
+
+est = ThurstonePortfolio(calib="market", phi=1.0)
+est.fit(returns)            # returns: (n_obs, n_assets)
+est.weights_                # long-only weights on the simplex
+
+for batch in stream:        # streaming / rebalancing
+    est.partial_fit(batch)  # transports a fixed seed ensemble -> low turnover
+    w = est.weights_
+```
+
+`score(X)` returns the portfolio's Sharpe ratio (skfolio's scoring convention),
+and `to_portfolio(X)` wraps the fitted weights as a skfolio `Portfolio`
+(`pip install allocation[skfolio]`) so the output drops into skfolio's metrics,
+`Population`, and cross-validation.
+
+## Why a separate package
+
+skfolio is the scikit-learn-native portfolio library, but it is *batch*: a
+changing universe is handled by NaN/incomplete-data mechanics, not by carrying
+per-asset state across streaming updates. `allocation` is the **online**
+complement — estimators with `partial_fit`, a keyed dynamic universe (in the
+spirit of [`precise`](https://github.com/microprediction/precise)), and turnover
+control by construction — while staying API-compatible so each estimator can also
+be contributed upstream to skfolio.
+
+## Methods
+
+| Estimator | Status | Notes |
+|-----------|--------|-------|
+| `ThurstonePortfolio` | working | Ability tilt: weights are winning probabilities of a correlated race; calibrate to a benchmark under a reference correlation, tilt under the estimate; smooth common-seed transport for `partial_fit`. Built on [`thurstone`](https://github.com/microprediction/thurstone). |
+| `SchurComplementary` | planned | Online version of the Schur-complementary construction (the batch version is in skfolio). |
+| baselines | planned | Online equal / cap / minimum-variance / risk-parity for benchmarking. |
+
+## Design
+
+```
+allocation/
+  base.py        # BaseOnlinePortfolio: fit / partial_fit / predict / weights_
+  moments.py     # EwmaCovariance (default); any partial_fit/covariance_ estimator plugs in
+  universe.py    # keyed dynamic-universe state (planned)
+  thurstone.py   # ThurstonePortfolio
+  _thurstone/    # calibration + transport engine
+```
+
+Covariance is pluggable: the default is a light EWMA, but any online estimator
+exposing `partial_fit` and `covariance_` (e.g. a `precise` skater) can be passed
+via `covariance=`.
+
+## Status
+
+Early. The Thurstone estimator and the streaming transport work and are tested;
+the keyed dynamic-universe layer and the Schur estimator are next. The theory
+behind the Thurstone method (feasibility, redundancy consistency, the implied
+regularized objective, smoothness/turnover) is written up in the accompanying
+paper.
+
+## License
+
+MIT © Peter Cotton

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allocation-0.0.1.dist-info/licenses/LICENSE

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+MIT License
+
+Copyright (c) 2026 Peter Cotton
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

allocation-0.0.1.dist-info/top_level.txt

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+allocation