skfolio 0.0.10__tar.gz → 0.1.0__tar.gz

{skfolio-0.0.10/src/skfolio.egg-info → skfolio-0.1.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.0.10
+Version: 0.1.0
 Summary: Portfolio optimization built on top of scikit-learn
 Author-email: Hugo Delatte <delatte.hugo@gmail.com>
 Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>
@@ -37,7 +37,7 @@ Project-URL: API Reference, https://www.skfolio.org/api_reference.html
 Project-URL: Documentation, https://www.skfolio.org
 Project-URL: Tutorials, https://www.skfolio.org
 Project-URL: Repository, https://github.com/skfolio/skfolio
-Keywords: portfolio,optimization,optimisation,finance,asset,allocation,quantitative,quant,investment,startegy,machine-learning,scikit-learn,data-mining,data-science
+Keywords: portfolio,optimization,optimisation,finance,asset,allocation,quantitative,quant,investment,strategy,machine-learning,scikit-learn,data-mining,data-science
 Classifier: Intended Audience :: Developers
 Classifier: Intended Audience :: Science/Research
 Classifier: Intended Audience :: Financial and Insurance Industry
@@ -86,12 +86,12 @@ Requires-Dist: sphinx-favicon; extra == "docs"
 
 .. -*- mode: rst -*-
 
-|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_
+|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_ |Downloads|_ |Ruff|_ |Contribution|_ |Website|_
 
 .. |Licence| image:: https://img.shields.io/badge/License-BSD%203--Clause-blue.svg
 .. _Licence: https://github.com/skfolio/skfolio/blob/main/LICENSE
 
-.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/branch/main/graph/badge.svg
+.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/graph/badge.svg?token=KJ0SE4LHPV
 .. _Codecov: https://codecov.io/gh/skfolio/skfolio
 
 .. |PythonVersion| image:: https://img.shields.io/badge/python-3.10%20%7C%203.11%20%7C%203.12-blue
@@ -106,6 +106,17 @@ Requires-Dist: sphinx-favicon; extra == "docs"
 .. |CI/CD| image:: https://img.shields.io/github/actions/workflow/status/skfolio/skfolio/release.yml?logo=github
 .. _CI/CD: https://github.com/skfolio/skfolio/raw/main/LICENSE
 
+.. |Downloads| image:: https://static.pepy.tech/badge/skfolio
+.. _Downloads: https://pepy.tech/project/skfolio
+
+.. |Ruff| image:: https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json
+.. _Ruff: https://github.com/astral-sh/ruff
+
+.. |Contribution| image:: https://img.shields.io/badge/Contributions-Welcome-blue
+.. _Contribution: https://github.com/skfolio/skfolio/blob/main/CONTRIBUTING.md
+
+.. |Website| image:: https://img.shields.io/website-up-down-53cc0d-red/http/skfolio.org
+.. _Website: https://skfolio.org
 
 .. |PythonMinVersion| replace:: 3.10
 .. |NumpyMinVersion| replace:: 1.23.4
@@ -120,7 +131,7 @@ Requires-Dist: sphinx-favicon; extra == "docs"
 ===============
 |icon|  skfolio
 ===============
-.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/favicon.png
+.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/logo_animate.svg
     :width: 100
     :alt: skfolio documentation
     :target: https://skfolio.org/
@@ -466,7 +477,7 @@ Randomized Search of the L2 Norm
 
     randomized_search = RandomizedSearchCV(
         estimator=MeanRisk(),
-        cv=WalkForward(train_size=255, test_size=60),
+        cv=WalkForward(train_size=252, test_size=60),
         param_distributions={
             "l2_coef": loguniform(1e-3, 1e-1),
         },
@@ -635,7 +646,7 @@ If you use `skfolio` in a scientific publication, we would appreciate citations:
 Bibtex entry::
 
     @misc{skfolio,
-          author = {Hugo Delatte},
+          author = {Hugo Delatte, Carlo Nicolini},
           title = {skfolio},
           year  = {2023},
           url   = {https://github.com/skfolio/skfolio}

{skfolio-0.0.10 → skfolio-0.1.0}/README.rst

@@ -1,11 +1,11 @@
 .. -*- mode: rst -*-
 
-|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_
+|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_ |Downloads|_ |Ruff|_ |Contribution|_ |Website|_
 
 .. |Licence| image:: https://img.shields.io/badge/License-BSD%203--Clause-blue.svg
 .. _Licence: https://github.com/skfolio/skfolio/blob/main/LICENSE
 
-.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/branch/main/graph/badge.svg
+.. |Codecov| image:: https://codecov.io/gh/skfolio/skfolio/graph/badge.svg?token=KJ0SE4LHPV
 .. _Codecov: https://codecov.io/gh/skfolio/skfolio
 
 .. |PythonVersion| image:: https://img.shields.io/badge/python-3.10%20%7C%203.11%20%7C%203.12-blue
@@ -20,6 +20,17 @@
 .. |CI/CD| image:: https://img.shields.io/github/actions/workflow/status/skfolio/skfolio/release.yml?logo=github
 .. _CI/CD: https://github.com/skfolio/skfolio/raw/main/LICENSE
 
+.. |Downloads| image:: https://static.pepy.tech/badge/skfolio
+.. _Downloads: https://pepy.tech/project/skfolio
+
+.. |Ruff| image:: https://img.shields.io/endpoint?url=https://raw.githubusercontent.com/astral-sh/ruff/main/assets/badge/v2.json
+.. _Ruff: https://github.com/astral-sh/ruff
+
+.. |Contribution| image:: https://img.shields.io/badge/Contributions-Welcome-blue
+.. _Contribution: https://github.com/skfolio/skfolio/blob/main/CONTRIBUTING.md
+
+.. |Website| image:: https://img.shields.io/website-up-down-53cc0d-red/http/skfolio.org
+.. _Website: https://skfolio.org
 
 .. |PythonMinVersion| replace:: 3.10
 .. |NumpyMinVersion| replace:: 1.23.4
@@ -34,7 +45,7 @@
 ===============
 |icon|  skfolio
 ===============
-.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/favicon.png
+.. |icon| image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/logo_animate.svg
     :width: 100
     :alt: skfolio documentation
     :target: https://skfolio.org/
@@ -380,7 +391,7 @@ Randomized Search of the L2 Norm
 
     randomized_search = RandomizedSearchCV(
         estimator=MeanRisk(),
-        cv=WalkForward(train_size=255, test_size=60),
+        cv=WalkForward(train_size=252, test_size=60),
         param_distributions={
             "l2_coef": loguniform(1e-3, 1e-1),
         },
@@ -549,7 +560,7 @@ If you use `skfolio` in a scientific publication, we would appreciate citations:
 Bibtex entry::
 
     @misc{skfolio,
-          author = {Hugo Delatte},
+          author = {Hugo Delatte, Carlo Nicolini},
           title = {skfolio},
           year  = {2023},
           url   = {https://github.com/skfolio/skfolio}

{skfolio-0.0.10 → skfolio-0.1.0}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "skfolio"
-version = "0.0.10"
+version = "0.1.0"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
 ]
@@ -33,7 +33,7 @@ keywords = [
     "quantitative",
     "quant",
     "investment",
-    "startegy",
+    "strategy",
     "machine-learning",
     "scikit-learn",
     "data-mining",

{skfolio-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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-0.0.10 → skfolio-0.1.0}/src/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