skfolio 0.0.1__py3-none-any.whl → 0.0.3__py3-none-any.whl

skfolio/optimization/convex/_risk_budgeting.py

@@ -302,14 +302,17 @@ class RiskBudgeting(ConvexOptimization):
         It is a function that must take as argument the weights `w` and returns a
         CVPXY expression.
 
-    solver : str, optional
-        The solver to use. For example, "ECOS", "SCS", or "OSQP".
-        The default (`None`) is set depending on the problem.
+    solver : str, default="CLARABEL"
+        The solver to use. The default is "CLARABEL" which is written in Rust and has
+        better numerical stability and performance than ECOS and SCS. Cvxpy will replace
+        its default solver "ECOS" by "CLARABEL" in future releases.
         For more details about available solvers, check the CVXPY documentation:
         https://www.cvxpy.org/tutorial/advanced/index.html#choosing-a-solver
 
     solver_params : dict, optional
         Solver parameters. For example, `solver_params=dict(verbose=True)`.
+        The default (`None`) is use `{"tol_gap_abs": 1e-9, "tol_gap_rel": 1e-9}`
+        for the solver "CLARABEL" and the CVXPY default otherwise.
         For more details about solver arguments, check the CVXPY documentation:
         https://www.cvxpy.org/tutorial/advanced/index.html#setting-solver-options
 
@@ -323,6 +326,10 @@ class RiskBudgeting(ConvexOptimization):
         It can be used to increase the optimization accuracies in specific cases.
         The default (`None`) is set depending on the problem.
 
+    save_problem : bool, default=False
+        If this is set to True, the CVXPY Problem is saved in `problem_`.
+        The default is `False`.
+
     raise_on_failure : bool, default=True
         If this is set to True, an error is raised when the optimization fail otherwise
         it passes with a warning.
@@ -338,15 +345,16 @@ class RiskBudgeting(ConvexOptimization):
     weights_ : ndarray of shape (n_assets,) or (n_optimizations, n_assets)
         Weights of the assets.
 
-    problem_: cvxpy.Problem
-        CVXPY problem used for the optimization.
-
     problem_values_ :  dict[str, float] | list[dict[str, float]] of size n_optimizations
         Expression values retrieved from the CVXPY problem.
 
     prior_estimator_ : BasePrior
         Fitted `prior_estimator`.
 
+    problem_: cvxpy.Problem
+        CVXPY problem used for the optimization. Only when `save_problem` is set to
+        `True`.
+
     n_features_in_ : int
         Number of assets seen during `fit`.
 
@@ -376,10 +384,11 @@ class RiskBudgeting(ConvexOptimization):
         evar_beta: float = 0.95,
         cdar_beta: float = 0.95,
         edar_beta: float = 0.95,
-        solver: str | None = None,
+        solver: str = "CLARABEL",
         solver_params: dict | None = None,
         scale_objective: float | None = None,
         scale_constraints: float | None = None,
+        save_problem: bool = False,
         raise_on_failure: bool = True,
         add_objective: skt.ExpressionFunction | None = None,
         add_constraints: skt.ExpressionFunction | None = None,
@@ -409,6 +418,7 @@ class RiskBudgeting(ConvexOptimization):
             solver_params=solver_params,
             scale_objective=scale_objective,
             scale_constraints=scale_constraints,
+            save_problem=save_problem,
             raise_on_failure=raise_on_failure,
             add_objective=add_objective,
             add_constraints=add_constraints,
@@ -450,7 +460,6 @@ class RiskBudgeting(ConvexOptimization):
         self._validation()
         # Used to avoid adding multiple times similar constrains linked to identical
         # risk models
-        self._clear_models_cache()
         self.prior_estimator_ = check_estimator(
             self.prior_estimator,
             default=EmpiricalPrior(),
@@ -460,8 +469,11 @@ class RiskBudgeting(ConvexOptimization):
         prior_model = self.prior_estimator_.prior_model_
         n_observations, n_assets = prior_model.returns.shape
 
-        # set solvers
-        self._set_solver(default="SCS")
+        # set solvers params
+        if self.solver == "CLARABEL":
+            self._set_solver_params(default={"tol_gap_abs": 1e-9, "tol_gap_rel": 1e-9})
+        else:
+            self._set_solver_params(default=None)
 
         # set scale
         self._set_scale_objective(default=1)

skfolio/optimization/ensemble/_stacking.py

@@ -306,12 +306,10 @@ class StackingOptimization(BaseOptimization, BaseComposition):
                 _ = self._validate_data(X)
 
             if isinstance(self.cv, BaseCombinatorialCV):
-                X_pred = np.array(
-                    [
-                        pred.quantile(measure=self.quantile_measure, q=self.quantile)
-                        for pred in cv_predictions
-                    ]
-                ).T
+                X_pred = np.array([
+                    pred.quantile(measure=self.quantile_measure, q=self.quantile)
+                    for pred in cv_predictions
+                ]).T
             else:
                 X_pred = np.array(cv_predictions).T
                 if y is not None:

skfolio/population/_population.py

@@ -139,12 +139,9 @@ class Population(list):
             non-dominated portfolios.
         """
         n = len(self)
-        if n > 0 and np.any(
-            [
-                portfolio.fitness_measures != self[0].fitness_measures
-                for portfolio in self
-            ]
-        ):
+        if n > 0 and np.any([
+            portfolio.fitness_measures != self[0].fitness_measures for portfolio in self
+        ]):
             raise ValueError(
                 "Cannot compute non denominated sorting with Portfolios "
                 "containing mixed `fitness_measures`"
@@ -189,13 +186,11 @@ class Population(list):
             return self.__class__(
                 [portfolio for portfolio in self if portfolio.tag in tags]
             )
-        return self.__class__(
-            [
-                portfolio
-                for portfolio in self
-                if portfolio.name in names and portfolio.tag in tags
-            ]
-        )
+        return self.__class__([
+            portfolio
+            for portfolio in self
+            if portfolio.name in names and portfolio.tag in tags
+        ])
 
     def measures(
         self,
@@ -759,7 +754,7 @@ class Population(list):
             fronts = self.non_denominated_sort(first_front_only=False)
             if tags is not None:
                 ValueError("Cannot plot front with tags selected")
-            df["front"] = -1
+            df["front"] = str(-1)
             for i, front in enumerate(fronts):
                 for idx in front:
                     df.iloc[idx, -1] = str(i)
@@ -788,17 +783,15 @@ class Population(list):
                         x=xi,
                         y=yi,
                         z=Z,
-                        hovertemplate="<br>".join(
-                            [
-                                str(e)
-                                + ": %{"
-                                + v
-                                + ":"
-                                + (",.3%" if not e.is_ratio else None)
-                                + "}"
-                                for e, v in [(x, "x"), (y, "y"), (z, "z")]
-                            ]
-                        )
+                        hovertemplate="<br>".join([
+                            str(e)
+                            + ": %{"
+                            + v
+                            + ":"
+                            + (",.3%" if not e.is_ratio else None)
+                            + "}"
+                            for e, v in [(x, "x"), (y, "y"), (z, "z")]
+                        ])
                         + "<extra></extra>",
                         colorbar=dict(
                             title=str(z),

skfolio/portfolio/_portfolio.py

@@ -401,19 +401,17 @@ class Portfolio(BasePortfolio):
     """
 
     _read_only_attrs: ClassVar[set] = BasePortfolio._read_only_attrs.copy()
-    _read_only_attrs.update(
-        {
-            "X",
-            "assets",
-            "weights",
-            "previous_weights",
-            "transaction_costs",
-            "management_fees",
-            "n_assets",
-            "total_cost",
-            "total_fee",
-        }
-    )
+    _read_only_attrs.update({
+        "X",
+        "assets",
+        "weights",
+        "previous_weights",
+        "transaction_costs",
+        "management_fees",
+        "n_assets",
+        "total_cost",
+        "total_fee",
+    })
 
     __slots__ = {
         # read-only

skfolio/pre_selection/_pre_selection.py

@@ -296,13 +296,13 @@ class SelectNonDominated(skf.SelectorMixin, skb.BaseEstimator):
             )
 
         # Add pairs with correlation below threshold with minimum variance
-        # ptf_variance = 𝜎1^2 𝑤1^2 + 𝜎2^2 𝑤2^2 + 2 𝜎12 𝑤1 𝑤2 (1)
-        # with 𝑤1 + 𝑤2 = 1
-        # To find the minimum we substitute 𝑤2 = 1 - 𝑤1 in (1) and differentiate with
-        # respect to 𝑤1 and set to zero.
+        # ptf_variance = sigma1^2 w1^2 + sigma2^2 w2^2 + 2 sigma12 w1 w2 (1)
+        # with w1 + w2 = 1
+        # To find the minimum we substitute w2 = 1 - w1 in (1) and differentiate with
+        # respect to w1 and set to zero.
         # By solving the obtained equation, we get:
-        # 𝑤1 = (𝜎2^2 - 𝜎12) / (𝜎1^2 + 𝜎2^2 - 2 𝜎12)
-        # 𝑤2 = 1 - 𝑤1
+        # w1 = (sigma2^2 - sigma12) / (sigma1^2 + sigma2^2 - 2 sigma12)
+        # w2 = 1 - w1
 
         corr = np.corrcoef(X.T)
         covariance = np.cov(X.T)

skfolio/preprocessing/_returns.py

@@ -69,7 +69,7 @@ def prices_to_returns(
 
     References
     ----------
-    .. [1]  "Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management".
+    .. [1]  "Linear vs. Compounded Returns - Common Pitfalls in Portfolio Management".
         GARP Risk Professional.
         Attilio Meucci (2010).
     """

skfolio/prior/__init__.py

@@ -2,8 +2,8 @@ from skfolio.prior._base import BasePrior, PriorModel
 from skfolio.prior._black_litterman import BlackLitterman
 from skfolio.prior._empirical import EmpiricalPrior
 from skfolio.prior._factor_model import (
-    FactorModel,
     BaseLoadingMatrix,
+    FactorModel,
     LoadingMatrixRegression,
 )
 

skfolio/prior/_base.py

@@ -36,6 +36,7 @@ class PriorModel:
         some optimizations (for example in mean-variance) to improve performance and
         convergence. The default is `None`.
     """
+
     mu: np.ndarray
     covariance: np.ndarray
     returns: np.ndarray

skfolio/prior/_empirical.py

@@ -64,7 +64,7 @@ class EmpiricalPrior(BasePrior):
 
     References
     ----------
-    .. [1]  "Linear vs. Compounded Returns – Common Pitfalls in Portfolio Management".
+    .. [1]  "Linear vs. Compounded Returns - Common Pitfalls in Portfolio Management".
         GARP Risk Professional.
         Attilio Meucci (2010).
     """

skfolio/prior/_factor_model.py

@@ -109,12 +109,10 @@ class LoadingMatrixRegression(BaseLoadingMatrix):
         self.loading_matrix_ = np.array(
             [self.multi_output_regressor_.estimators_[i].coef_ for i in range(n_assets)]
         )
-        self.intercepts_ = np.array(
-            [
-                self.multi_output_regressor_.estimators_[i].intercept_
-                for i in range(n_assets)
-            ]
-        )
+        self.intercepts_ = np.array([
+            self.multi_output_regressor_.estimators_[i].intercept_
+            for i in range(n_assets)
+        ])
 
 
 class FactorModel(BasePrior):

skfolio/uncertainty_set/_base.py

@@ -37,6 +37,7 @@ class UncertaintySet:
     sigma : ndarray of shape (n_assets)
         Shape of the ellipsoid :math:`S`
     """
+
     k: float
     sigma: np.ndarray
 

skfolio/uncertainty_set/_bootstrap.py

@@ -80,6 +80,7 @@ class BootstrapMuUncertaintySet(BaseMuUncertaintySet):
         Bootstrap",
         Patton, Politis & White (2009).
     """
+
     prior_estimator_: BasePrior
 
     def __init__(

skfolio/uncertainty_set/_empirical.py

@@ -71,6 +71,7 @@ class EmpiricalMuUncertaintySet(BaseMuUncertaintySet):
         Optimization: A Journal of Mathematical Programming and Operations Research,
         Schöttle & Werner (2009).
     """
+
     prior_estimator_: BasePrior
 
     def __init__(
@@ -178,6 +179,7 @@ class EmpiricalCovarianceUncertaintySet(BaseCovarianceUncertaintySet):
         Optimization: A Journal of Mathematical Programming and Operations Research,
         Schöttle & Werner (2009).
     """
+
     prior_estimator_: BasePrior
 
     def __init__(

skfolio/utils/stats.py

@@ -100,7 +100,7 @@ def n_bins_knuth(x: np.ndarray) -> int:
     n = len(x)
 
     def func(y: float):
-        y = int(y)
+        y = y[0]
         if y <= 0:
             return np.inf
         bin_edges = np.linspace(x[0], x[-1], int(y) + 1)