riskfolio-lib 7.1.0__cp312-cp312-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl

riskfolio/src/GerberStatistic.py

@@ -0,0 +1,240 @@
+""""""  #
+
+"""
+Copyright (c) 2020-2025, Dany Cajas
+This code is mainly based on Yinsen Miao's work available in:
+https://github.com/yinsenm/gerber/blob/af04c2ee5adf342393b028b85ab5546f31c0c8d3/src/gerber.py
+"""
+
+import numpy as np
+import pandas as pd
+import riskfolio.src.AuxFunctions as af
+
+
+__all__ = [
+    "gerber_cov_stat0",
+    "gerber_cov_stat1",
+    "gerber_cov_stat2",
+]
+
+
+def gerber_cov_stat0(X, threshold=0.5):
+    r"""
+    Compute Gerber covariance Statistics 0 or original Gerber statistics
+    :cite:`d-Gerber2021`, not always PSD, however this function fixes the
+    covariance matrix finding the nearest covariance matrix that is positive
+    semidefinite.
+
+    Parameters
+    ----------
+    X : DataFrame of shape (n_samples, n_assets), optional
+        Assets returns DataFrame, where n_samples is the number of
+        observations and n_assets is the number of assets.
+
+    threshold : float
+        Threshold is between 0 and 1.
+
+    Returns
+    -------
+    value : bool
+        Gerber covariance matrix of shape (n_features, n_features), where
+        n_features is the number of features.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    # Threshold shall between 0 and 1
+    assert 1 > threshold > 0
+
+    flag = False
+    if isinstance(X, pd.DataFrame):
+        cols = X.columns.tolist()
+        X1 = X.to_numpy()
+        flag = True
+    else:
+        X1 = X.copy()
+
+    n, p = X1.shape
+    sd_vec = X1.std(axis=0).reshape((p, 1))
+    cov = np.zeros((p, p))  # Store correlation matrix
+    corr = np.zeros((p, p))  # Store correlation matrix
+
+    for i in range(p):
+        for j in range(i + 1):
+            neg = 0
+            pos = 0
+            for k in range(n):
+                if (
+                    (X1[k, i] >= threshold * sd_vec[i])
+                    and (X1[k, j] >= threshold * sd_vec[j])
+                ) or (
+                    (X1[k, i] <= -threshold * sd_vec[i])
+                    and (X1[k, j] <= -threshold * sd_vec[j])
+                ):
+                    pos += 1
+                elif (
+                    (X1[k, i] >= threshold * sd_vec[i])
+                    and (X1[k, j] <= -threshold * sd_vec[j])
+                ) or (
+                    (X1[k, i] <= -threshold * sd_vec[i])
+                    and (X1[k, j] >= threshold * sd_vec[j])
+                ):
+                    neg += 1
+
+            # Compute Gerber correlation matrix
+            corr[i, j] = (pos - neg) / (pos + neg)
+            corr[j, i] = corr[i, j]
+
+    cov = corr * np.outer(sd_vec, sd_vec)
+    if af.is_pos_def(cov) == False:
+        cov = af.cov_fix(cov, method="clipped")
+
+    if flag:
+        cov = pd.DataFrame(cov, index=cols, columns=cols)
+
+    return cov
+
+
+def gerber_cov_stat1(X, threshold=0.5):
+    r"""
+    Compute Gerber covariance Statistics 1 :cite:`d-Gerber2021`.
+
+    Parameters
+    ----------
+    X : DataFrame of shape (n_samples, n_assets), optional
+        Assets returns DataFrame, where n_samples is the number of
+        observations and n_assets is the number of assets.
+
+    threshold : float
+        Threshold is between 0 and 1.
+
+    Returns
+    -------
+    value : bool
+        Gerber covariance matrix of shape (n_features, n_features), where
+        n_features is the number of features.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    # Threshold shall between 0 and 1
+    assert 1 > threshold > 0
+
+    flag = False
+    if isinstance(X, pd.DataFrame):
+        cols = X.columns.tolist()
+        X1 = X.to_numpy()
+        flag = True
+    else:
+        X1 = X.copy()
+
+    n, p = X1.shape
+    sd_vec = X1.std(axis=0).reshape((p, 1))
+    corr = np.zeros((p, p))  # Store correlation matrix
+
+    for i in range(p):
+        for j in range(i + 1):
+            neg = 0
+            pos = 0
+            nn = 0
+            for k in range(n):
+                if (
+                    (X1[k, i] >= threshold * sd_vec[i])
+                    and (X1[k, j] >= threshold * sd_vec[j])
+                ) or (
+                    (X1[k, i] <= -threshold * sd_vec[i])
+                    and (X1[k, j] <= -threshold * sd_vec[j])
+                ):
+                    pos += 1
+                elif (
+                    (X1[k, i] >= threshold * sd_vec[i])
+                    and (X1[k, j] <= -threshold * sd_vec[j])
+                ) or (
+                    (X1[k, i] <= -threshold * sd_vec[i])
+                    and (X1[k, j] >= threshold * sd_vec[j])
+                ):
+                    neg += 1
+                elif (
+                    abs(X1[k, i]) < threshold * sd_vec[i]
+                    and abs(X1[k, j]) < threshold * sd_vec[j]
+                ):
+                    nn += 1
+
+            # Compute Gerber correlation matrix
+            corr[i, j] = (pos - neg) / (n - nn)
+            corr[j, i] = corr[i, j]
+
+    cov = corr * np.outer(sd_vec, sd_vec)
+
+    if flag:
+        cov = pd.DataFrame(cov, index=cols, columns=cols)
+
+    return cov
+
+
+def gerber_cov_stat2(X, threshold=0.5):
+    r"""
+    Compute Gerber covariance Statistics 2 :cite:`d-Gerber2021`.
+
+    Parameters
+    ----------
+    X : : DataFrame of shape (n_samples, n_assets), optional
+        Assets returns DataFrame, where n_samples is the number of
+        observations and n_assets is the number of assets.
+
+    threshold : float
+        Threshold is between 0 and 1.
+
+    Returns
+    -------
+    value : bool
+        Gerber covariance mtrix of shape (n_features, n_features), where
+        n_features is the number of features.
+
+    Raises
+    ------
+        ValueError when the value cannot be calculated.
+
+    """
+    # Threshold shall between 0 and 1
+    assert 1 > threshold > 0
+
+    flag = False
+    if isinstance(X, pd.DataFrame):
+        cols = X.columns.tolist()
+        X1 = X.to_numpy()
+        flag = True
+    else:
+        X1 = X.copy()
+
+    n, p = X1.shape
+    sd_vec = X1.std(axis=0).reshape((p, 1))
+    U = np.copy(X1)
+    D = np.copy(X1)
+
+    # Update U and D matrix
+    for i in range(p):
+        U[:, i] = U[:, i] >= sd_vec[i] * threshold
+        D[:, i] = D[:, i] <= -sd_vec[i] * threshold
+
+    # Update concordant matrix
+    N_CONC = U.transpose() @ U + D.transpose() @ D
+
+    # Update discordant matrix
+    N_DISC = U.transpose() @ D + D.transpose() @ U
+    H = N_CONC - N_DISC
+    h = np.sqrt(H.diagonal())
+    h = h.reshape((p, 1))
+
+    corr = H / (h @ h.transpose())
+
+    cov = corr * np.outer(sd_vec, sd_vec)
+
+    if flag:
+        cov = pd.DataFrame(cov, index=cols, columns=cols)
+
+    return cov