skfolio 0.0.11__py3-none-any.whl → 0.1.0__py3-none-any.whl

skfolio/measures/_measures.py

@@ -608,3 +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/portfolio/_base.py

@@ -369,7 +369,6 @@ class BasePortfolio:
     _read_only_attrs: ClassVar[set] = {
         "returns",
         "observations",
-        "n_observations",
     }
 
     # Arguments globally used in measures computation
@@ -401,7 +400,6 @@ class BasePortfolio:
         # public read-only
         "returns",
         "observations",
-        "n_observations",
         # private
         "_loaded",
         # custom getter and setter
@@ -521,7 +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):
@@ -531,9 +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}>"
 
@@ -679,6 +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."""

skfolio/portfolio/_multi_period_portfolio.py

@@ -369,6 +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]
 
@@ -571,12 +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/utils/fixes/_dendrogram.py

@@ -290,15 +290,13 @@ class _Dendrogram:
         Sets and returns default layout object for dendrogram figure.
 
         """
-        self.layout.update(
-            {
-                "showlegend": False,
-                "autosize": False,
-                "hovermode": "closest",
-                "width": width,
-                "height": height,
-            }
-        )
+        self.layout.update({
+            "showlegend": False,
+            "autosize": False,
+            "hovermode": "closest",
+            "width": width,
+            "height": height,
+        })
 
         self.set_axis_layout(self.xaxis)
         self.set_axis_layout(self.yaxis)

{skfolio-0.0.11.dist-info → skfolio-0.1.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.0.11
+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>
@@ -85,7 +85,7 @@ Requires-Dist: ruff ; extra == 'tests'
 
 .. -*- mode: rst -*-
 
-|Licence|_ |Codecov|_ |Black|_ |PythonVersion|_ |PyPi|_ |CI/CD|_ |Downloads|_ |Ruff|_ |Website|_
+|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
@@ -111,7 +111,10 @@ Requires-Dist: ruff ; extra == 'tests'
 .. |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
 
-.. |Website| image:: https://img.shields.io/website-up-down-green-red/http/skfolio.org
+.. |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
@@ -127,7 +130,7 @@ Requires-Dist: ruff ; extra == 'tests'
 ===============
 |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/

{skfolio-0.0.11.dist-info → skfolio-0.1.0.dist-info}/RECORD

@@ -14,7 +14,7 @@ skfolio/distance/_base.py,sha256=jBgRk6lZrP1woSI9541fTfxBBkp4WCTLlRPmWcmA3j4,132
 skfolio/distance/_distance.py,sha256=PHDqEourtqKSSFYiXKaUPQQqNFEqIEBhWcbWwe3fxjg,18539
 skfolio/measures/__init__.py,sha256=Wm8soTkAapZ-g82INBpljgKfxkwCAIJdqjBOGVZBeQ8,1571
 skfolio/measures/_enums.py,sha256=oy8wPm3EGsHokgLXe9xfUKet4vAuvch0cJuISH9RNvk,8902
-skfolio/measures/_measures.py,sha256=SPp-JGBXsf7KLcU3saq4KhP1HiReFxDoo3ojvk3wzQ0,16122
+skfolio/measures/_measures.py,sha256=nrpfaOVF94_ZpZXe2ciaBNzioGVTkzuYTmkYp9_EMec,16826
 skfolio/metrics/__init__.py,sha256=MomHJ5_bgjq4qUwGS2bfhNmG_ld0oQ4wK6y0Yy_Eonc,75
 skfolio/metrics/_scorer.py,sha256=h1VuZk-zzn4rIChHl9FvM7RxqVT3b-jR1CEB-cr9F2s,4306
 skfolio/model_selection/__init__.py,sha256=QYYm5lYyioZuPnsTu-b3lz-tCcl3Gwrx-y9IIvep13A,453
@@ -50,8 +50,8 @@ skfolio/optimization/naive/_naive.py,sha256=sadsU8TnNRf28EDLg-KZ4yJm2FvV204vdsb1
 skfolio/population/__init__.py,sha256=rsPPMUv95aTK7vmpPeQwF8NzFuBwk6RDo5g4HNaPzNM,80
 skfolio/population/_population.py,sha256=cyHdpZr6Ib725CRE_rr0irI4sHEcVEAY-Gmy--1goKo,29242
 skfolio/portfolio/__init__.py,sha256=YYtcAPmA2zeCxFGTXegg2FXcA7py6CxOX7IMTdYuXl0,586
-skfolio/portfolio/_base.py,sha256=asQ4EG5gOjZvW20Z8YEj8G-9RZBL8uqpLCzD8GmdztI,38356
-skfolio/portfolio/_multi_period_portfolio.py,sha256=RFvag_bvvQNJSfJj2UThKxZvEGBTWjPHNW4EVyOq1_g,22688
+skfolio/portfolio/_base.py,sha256=XHSFrQJRY6nIyUG8sd8ZgbwZt7_ZKlMRNCfOqdls0Rw,38314
+skfolio/portfolio/_multi_period_portfolio.py,sha256=63RwL0oTn-3L5LON6f2e9J58zw9q8S2gQ5c8JfSnN28,22759
 skfolio/portfolio/_portfolio.py,sha256=axthHXaavCll_qXrYvJqfk-6AuMNDb-syD__jU_9acU,30714
 skfolio/pre_selection/__init__.py,sha256=VtUtDn-U-Mn_xR2k7yfld0Yb0rPhLakEAiBwUyi-4Z8,189
 skfolio/pre_selection/_pre_selection.py,sha256=w84T14nKmzkgzbw5CW_AIlci741lXYxKUwB5pBjhTTI,12163
@@ -73,9 +73,9 @@ skfolio/utils/sorting.py,sha256=lSjMvH2L-sSj-06B3MlwBrH1rtjCeGEe4hG894W7TE0,3504
 skfolio/utils/stats.py,sha256=IP36nMc5j5Hcqjbg7lvDIsGp1GWRdOh5jU3W6Z8nkYs,13132
 skfolio/utils/tools.py,sha256=roj4zTwmfunPb8HtxcOPAsCKpk0ZPEPnQztSglE9t4o,15351
 skfolio/utils/fixes/__init__.py,sha256=knHau8PRZP07XDHR59CW8VWxkpTP0gdr6RAHJrO-zaA,95
-skfolio/utils/fixes/_dendrogram.py,sha256=9aIhSnMwpQHJhQx7IpXC3jlw6YJ3H4XQnnx_d4nMllQ,13551
-skfolio-0.0.11.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
-skfolio-0.0.11.dist-info/METADATA,sha256=AOJvG3qDb_FLJ3s08wVfP8Wd2XnubyPklYMAAwiecBo,19430
-skfolio-0.0.11.dist-info/WHEEL,sha256=oiQVh_5PnQM0E3gPdiz09WCNmwiHDMaGer_elqB3coM,92
-skfolio-0.0.11.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
-skfolio-0.0.11.dist-info/RECORD,,
+skfolio/utils/fixes/_dendrogram.py,sha256=QK0OYAmlDe4sdrbFtRvxIlKfPlOGyA2zmsZIz1fIMsM,13505
+skfolio-0.1.0.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
+skfolio-0.1.0.dist-info/METADATA,sha256=zUZtTWjCZIla8MbEauTnhntSsQbJut6GWXk2cjJPMuE,19613
+skfolio-0.1.0.dist-info/WHEEL,sha256=oiQVh_5PnQM0E3gPdiz09WCNmwiHDMaGer_elqB3coM,92
+skfolio-0.1.0.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
+skfolio-0.1.0.dist-info/RECORD,,