skfolio 0.0.10__py3-none-any.whl → 0.1.0__py3-none-any.whl

skfolio/cluster/_hierarchical.py

@@ -1,5 +1,6 @@
 """Hierarchical Clustering estimators."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -7,13 +8,13 @@ from enum import auto
 
 import numpy as np
 import numpy.typing as npt
-import plotly.figure_factory as ff
 import plotly.graph_objects as go
 import scipy.cluster.hierarchy as sch
 import scipy.spatial.distance as scd
 import sklearn.base as skb
 import sklearn.utils.validation as skv
 
+from skfolio.utils.fixes import create_dendrogram
 from skfolio.utils.stats import assert_is_distance, compute_optimal_n_clusters
 from skfolio.utils.tools import AutoEnum, default_asset_names
 
@@ -244,7 +245,7 @@ class HierarchicalClustering(skb.ClusterMixin, skb.BaseEstimator):
             asset_names = default_asset_names(n_assets=n_assets)
 
         if not heatmap:
-            fig = ff.create_dendrogram(
+            fig = create_dendrogram(
                 np.ones(1),
                 distfun=lambda x: None,
                 linkagefun=lambda x: linkage_matrix,
@@ -263,7 +264,7 @@ class HierarchicalClustering(skb.ClusterMixin, skb.BaseEstimator):
             return fig
 
         # Initialize figure by creating upper dendrogram
-        fig = ff.create_dendrogram(
+        fig = create_dendrogram(
             np.ones(1),
             orientation="bottom",
             distfun=lambda x: None,
@@ -276,7 +277,7 @@ class HierarchicalClustering(skb.ClusterMixin, skb.BaseEstimator):
             fig["data"][i]["yaxis"] = "y2"
 
         # Create Side Dendrogram
-        side_dendrogram = ff.create_dendrogram(
+        side_dendrogram = create_dendrogram(
             np.ones(1),
             orientation="right",
             distfun=lambda x: None,

skfolio/datasets/_base.py

@@ -1,7 +1,12 @@
 """Datasets module."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 import gzip
 import os

skfolio/distance/_base.py

@@ -1,5 +1,6 @@
 """Base Distance Estimators"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/distance/_distance.py

@@ -1,5 +1,6 @@
 """Distance Estimators"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/exceptions.py

@@ -3,6 +3,7 @@ The :mod:`skfolio.exceptions` module includes all custom warnings and error
 classes used across skfolio.
 """
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/measures/_enums.py

@@ -1,5 +1,6 @@
 """Module that includes all Measures enums used across `skfolio`."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/measures/_measures.py

@@ -1,7 +1,10 @@
 """Module that includes all Measures functions used across `skfolio`."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Gini mean difference and OWA GMD weights features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 
 import numpy as np
@@ -605,3 +608,28 @@ def gini_mean_difference(returns: np.ndarray) -> float:
     """
     w = owa_gmd_weights(len(returns))
     return float(w @ np.sort(returns, axis=0))
+
+
+def effective_number_assets(weights: np.ndarray) -> float:
+    r"""
+    Computes the effective number of assets, defined as the inverse of the Herfindahl index [1]_:
+    .. math:: N_{eff} = \frac{1}{\Vert w \Vert_{2}^{2}}
+
+    It quantifies portfolio concentration, with a higher value indicating a more diversified portfolio.
+
+    Parameters
+    ----------
+    weights : ndarray of shape (n_assets,)
+        Weights of the assets.
+
+    Returns
+    -------
+    value : float
+        Effective number of assets.
+
+    References
+    ----------
+    .. [1] "Banking and Financial Institutions Law in a Nutshell".
+        Lovett, William Anthony (1988)
+    """
+    return 1.0 / (np.power(weights, 2).sum())

skfolio/metrics/_scorer.py

@@ -1,7 +1,12 @@
 """Scorer module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from collections.abc import Callable
 

skfolio/model_selection/_combinatorial.py

@@ -1,7 +1,12 @@
 """Combinatorial module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 import itertools
 import math

skfolio/model_selection/_validation.py

@@ -1,7 +1,12 @@
 """Model validation module."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 import numpy as np
 import numpy.typing as npt

skfolio/model_selection/_walk_forward.py

@@ -1,7 +1,12 @@
 """Walk Forward cross-validator"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from collections.abc import Iterator
 
@@ -39,7 +44,7 @@ class WalkForward(skm.BaseCrossValidator):
 
     reduce_test : bool, default=False
         If this is set to True, the last train/test split will be returned even if the
-        test set is partial (if it constains less observations than `test_size`),
+        test set is partial (if it contains less observations than `test_size`),
         otherwise it will be ignored.
         The default is `False`
 

skfolio/moments/covariance/_base.py

@@ -1,5 +1,12 @@
 """Base Covariance Estimators."""
 
+# Copyright (c) 2023
+# Author: Hugo Delatte <delatte.hugo@gmail.com>
+# License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
+
 from abc import ABC, abstractmethod
 
 import numpy as np

skfolio/moments/covariance/_covariance.py

@@ -1,5 +1,12 @@
 """Covariance Estimators."""
 
+# Copyright (c) 2023
+# Author: Hugo Delatte <delatte.hugo@gmail.com>
+# License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
+
 import numpy as np
 import numpy.typing as npt
 import pandas as pd

skfolio/moments/expected_returns/_base.py

@@ -1,7 +1,11 @@
 """Base Expected returns estimators."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from abc import ABC, abstractmethod
 

skfolio/moments/expected_returns/_expected_returns.py

@@ -1,7 +1,12 @@
 """Expected returns estimators."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from enum import auto
 

skfolio/optimization/_base.py

@@ -14,6 +14,14 @@ from skfolio.measures import RatioMeasure
 from skfolio.population import Population
 from skfolio.portfolio import Portfolio
 
+# Copyright (c) 2023
+# Author: Hugo Delatte <delatte.hugo@gmail.com>
+# License: BSD 3 clause
+# Implementation derived from:
+# scikit-portfolio, Copyright (c) 2022, Carlo Nicolini, Licensed under MIT Licence.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
+
 
 class BaseOptimization(skb.BaseEstimator, ABC):
     """Base class for all portfolio optimizations in skfolio.

skfolio/optimization/cluster/_nco.py

@@ -1,7 +1,12 @@
 """Nested Clusters Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from copy import deepcopy
 

skfolio/optimization/cluster/hierarchical/_base.py

@@ -1,7 +1,11 @@
 """Base Hierarchical Clustering Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
 
 from abc import ABC, abstractmethod
 

skfolio/optimization/cluster/hierarchical/_herc.py

@@ -1,8 +1,10 @@
 """Hierarchical Equal Risk Contribution estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
-
+# The risk measure generalization and constraint features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 import numpy as np
 import numpy.typing as npt

skfolio/optimization/cluster/hierarchical/_hrp.py

@@ -1,7 +1,11 @@
 """Hierarchical Risk Parity Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# The risk measure generalization and constraint features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+
 
 import numpy as np
 import numpy.typing as npt

skfolio/optimization/convex/_base.py

@@ -1,7 +1,10 @@
 """Base Convex Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# The optimization features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 import warnings
 from abc import ABC, abstractmethod
@@ -43,7 +46,7 @@ class ObjectiveFunction(AutoEnum):
     MAXIMIZE_UTILITY : str
         Maximize the utility  :math:`w^T\mu - \lambda \times risk(w)`.
 
-    MAXIMIZE_UTILITY : str
+    MAXIMIZE_RATIO : str
         Maximize the ratio  :math:`\frac{w^T\mu - R_{f}}{risk(w)}`.
     """
 

skfolio/optimization/convex/_distributionally_robust.py

@@ -1,5 +1,6 @@
 """Distributionally Robust CVaR Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/optimization/convex/_maximum_diversification.py

@@ -1,5 +1,6 @@
 """Maximum Diversification Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -21,7 +22,7 @@ class MaximumDiversification(MeanRisk):
 
     It is a special case of the :class:`~skfolio.optimization.MeanRisk` estimator where
     the expected return from the objective function is replaced by the weighted
-    volatilies.
+    volatilities.
 
     Parameters
     ----------

skfolio/optimization/convex/_mean_risk.py

@@ -1,7 +1,10 @@
 """Mean Risk Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# The optimization features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 import cvxpy as cp
 import numpy as np
@@ -931,7 +934,7 @@ class MeanRisk(ConvexOptimization):
             case ObjectiveFunction.MAXIMIZE_RATIO:
                 if expected_return.is_affine():
                     # Charnes-Cooper's variable transformation for Fractional
-                    # Programing problem :Max(f1/f2) with f2 linear
+                    # Programming problem :Max(f1/f2) with f2 linear
                     constraints += [
                         expected_return * self._scale_constraints
                         - cp.Constant(self.risk_free_rate)
@@ -941,7 +944,7 @@ class MeanRisk(ConvexOptimization):
                     ]
                 else:
                     # Schaible's generalization of Charnes-Cooper's variable
-                    # transformation for Fractional Programing problem :Max(f1/f2)
+                    # transformation for Fractional Programming problem :Max(f1/f2)
                     # with f1 concave instead of linear: Schaible,"Parameter-free
                     # Convex Equivalent and Dual Programs of Fractional Programming
                     # Problems".

skfolio/optimization/convex/_risk_budgeting.py

@@ -1,7 +1,10 @@
 """Risk Budgeting Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# The optimization features are derived
+# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
 
 import cvxpy as cp
 import numpy as np

skfolio/optimization/ensemble/_base.py

@@ -2,8 +2,12 @@
 Follow same implementation as Base composition from sklearn
 """
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from abc import ABC, abstractmethod
 from contextlib import suppress

skfolio/optimization/ensemble/_stacking.py

@@ -1,7 +1,11 @@
 """Stacking Optimization estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
+# Grisel Licensed under BSD 3 clause.
 
 from copy import deepcopy
 

skfolio/population/_population.py

@@ -2,6 +2,7 @@
 A population is a collection of portfolios.
 """
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/portfolio/_base.py

@@ -1,5 +1,6 @@
 """Base Portfolio module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -97,7 +98,7 @@ class BasePortfolio:
         compute domination.
         The default (`None`) is to use the list [PerfMeasure.MEAN, RiskMeasure.VARIANCE]
 
-    annualized_factor : float, default=255.0
+    annualized_factor : float, default=252.0
         Factor used to annualize the below measures using the square-root rule:
 
             * Annualized Mean = Mean * factor
@@ -368,7 +369,6 @@ class BasePortfolio:
     _read_only_attrs: ClassVar[set] = {
         "returns",
         "observations",
-        "n_observations",
     }
 
     # Arguments globally used in measures computation
@@ -400,7 +400,6 @@ class BasePortfolio:
         # public read-only
         "returns",
         "observations",
-        "n_observations",
         # private
         "_loaded",
         # custom getter and setter
@@ -484,7 +483,7 @@ class BasePortfolio:
         observations: np.ndarray | list,
         name: str | None = None,
         tag: str | None = None,
-        annualized_factor: float = 255.0,
+        annualized_factor: float = 252.0,
         fitness_measures: list[skt.Measure] | None = None,
         risk_free_rate: float = 0.0,
         compounded: bool = False,
@@ -520,7 +519,6 @@ class BasePortfolio:
             self._fitness_measures = [PerfMeasure.MEAN, RiskMeasure.VARIANCE]
         else:
             self._fitness_measures = fitness_measures
-        self.n_observations = len(observations)
         self._loaded = True
 
     def __reduce__(self):
@@ -530,9 +528,6 @@ class BasePortfolio:
             [getattr(self, arg) for arg in args_names(self.__init__)]
         )
 
-    def __len__(self) -> int:
-        return len(self.observations)
-
     def __repr__(self) -> str:
         return f"<{type(self).__name__} {self.name}>"
 
@@ -678,6 +673,11 @@ class BasePortfolio:
         return mt.get_drawdowns(returns=self.returns, compounded=self.compounded)
 
     # Classic property
+    @property
+    def n_observations(self) -> int:
+        """Number of observations"""
+        return len(self.observations)
+
     @property
     def returns_df(self) -> pd.Series:
         """Portfolio returns DataFrame."""
@@ -705,7 +705,7 @@ class BasePortfolio:
         return self.__copy__()
 
     def clear(self) -> None:
-        """CLear all measures, fitness, cumulative returns and drawdowns in slots"""
+        """Clear all measures, fitness, cumulative returns and drawdowns in slots"""
         attrs = ["_fitness", "_cumulative_returns", "_drawdowns"]
         for attr in attrs + list(_MEASURES_VALUES):
             delattr(self, attr)

skfolio/portfolio/_multi_period_portfolio.py

@@ -3,6 +3,7 @@
 `MultiPeriodPortfolio` is a list of `Portfolio`.
 """
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -45,7 +46,7 @@ class MultiPeriodPortfolio(BasePortfolio):
         compute domination.
         The default (`None`) is to use the list [PerfMeasure.MEAN, RiskMeasure.VARIANCE]
 
-    annualized_factor : float, default=255.0
+    annualized_factor : float, default=252.0
         Factor used to annualize the below measures using the square-root rule:
 
             * Annualized Mean = Mean * factor
@@ -332,7 +333,7 @@ class MultiPeriodPortfolio(BasePortfolio):
         name: str | None = None,
         tag: str | None = None,
         risk_free_rate: float = 0,
-        annualized_factor: float = 255.0,
+        annualized_factor: float = 252.0,
         fitness_measures: list[skt.Measure] | None = None,
         compounded: bool = False,
         min_acceptable_return: float | None = None,
@@ -368,6 +369,9 @@ class MultiPeriodPortfolio(BasePortfolio):
         self.check_observations_order = check_observations_order
         self._set_portfolios(portfolios=portfolios)
 
+    def __len__(self) -> int:
+        return len(self.portfolios)
+
     def __getitem__(self, key: int | slice) -> Portfolio | list[Portfolio]:
         return self._portfolios[key]
 
@@ -570,12 +574,12 @@ class MultiPeriodPortfolio(BasePortfolio):
         """
         df = super().summary(formatted=formatted)
         portfolios_number = len(self)
-        avg_assets_per_portfolio = np.mean([len(p) for p in self])
+        avg_assets_per_portfolio = np.mean([p.n_assets for p in self])
         if formatted:
             portfolios_number = str(int(portfolios_number))
             avg_assets_per_portfolio = f"{avg_assets_per_portfolio:0.1f}"
-        df["Portfolios number"] = portfolios_number
-        df["Avg nb of assets per portfolio"] = avg_assets_per_portfolio
+        df["Portfolios Number"] = portfolios_number
+        df["Avg nb of Assets per Portfolio"] = avg_assets_per_portfolio
         return df
 
     # Public methods

skfolio/portfolio/_portfolio.py

@@ -4,6 +4,7 @@ It needs to be homogenous to the convex optimization problems meaning that `Port
 is the dot product of the assets weights with the assets returns.
 """
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -132,7 +133,7 @@ class Portfolio(BasePortfolio):
         compute domination.
         The default (`None`) is to use the list [PerfMeasure.MEAN, RiskMeasure.VARIANCE]
 
-    annualized_factor : float, default=255.0
+    annualized_factor : float, default=252.0
         Factor used to annualize the below measures using the square-root rule:
 
             * Annualized Mean = Mean * factor
@@ -439,7 +440,7 @@ class Portfolio(BasePortfolio):
         risk_free_rate: float = 0,
         name: str | None = None,
         tag: str | None = None,
-        annualized_factor: float = 255,
+        annualized_factor: float = 252,
         fitness_measures: list[skt.Measure] | None = None,
         compounded: bool = False,
         min_acceptable_return: float | None = None,

skfolio/pre_selection/_pre_selection.py

@@ -1,5 +1,6 @@
 """pre-selection estimators module"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/preprocessing/_returns.py

@@ -1,5 +1,6 @@
 """Preprocessing module to transform X to returns."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 
@@ -81,7 +82,7 @@ def prices_to_returns(
     else:
         if not isinstance(y, pd.DataFrame):
             raise TypeError("`y` must be a DataFrame")
-        df = pd.concat([X, y], join=join, axis=1)
+        df = X.join(y, how="outer")
 
     n_observations, n_assets = X.shape
 

skfolio/prior/_base.py

@@ -1,5 +1,6 @@
 """Base Prior estimator"""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
 

skfolio/prior/_black_litterman.py

@@ -1,7 +1,11 @@
 """Black & Litterman Prior Model estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+# Implementation derived from:
+# Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# PyPortfolioOpt, Copyright (c) 2018 Robert Andrew Martin, Licensed under MIT Licence.
 
 import numpy as np
 import numpy.typing as npt

skfolio/prior/_empirical.py

@@ -1,7 +1,9 @@
 """Empirical Prior Model estimator."""
 
+# Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
+
 import numpy as np
 import numpy.typing as npt