skfolio 0.0.1__py3-none-any.whl

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Files changed (79) hide show
  1. skfolio/__init__.py +29 -0
  2. skfolio/cluster/__init__.py +8 -0
  3. skfolio/cluster/_hierarchical.py +387 -0
  4. skfolio/datasets/__init__.py +20 -0
  5. skfolio/datasets/_base.py +389 -0
  6. skfolio/datasets/data/__init__.py +0 -0
  7. skfolio/datasets/data/factors_dataset.csv.gz +0 -0
  8. skfolio/datasets/data/sp500_dataset.csv.gz +0 -0
  9. skfolio/datasets/data/sp500_index.csv.gz +0 -0
  10. skfolio/distance/__init__.py +26 -0
  11. skfolio/distance/_base.py +55 -0
  12. skfolio/distance/_distance.py +574 -0
  13. skfolio/exceptions.py +30 -0
  14. skfolio/measures/__init__.py +76 -0
  15. skfolio/measures/_enums.py +355 -0
  16. skfolio/measures/_measures.py +607 -0
  17. skfolio/metrics/__init__.py +3 -0
  18. skfolio/metrics/_scorer.py +121 -0
  19. skfolio/model_selection/__init__.py +18 -0
  20. skfolio/model_selection/_combinatorial.py +407 -0
  21. skfolio/model_selection/_validation.py +194 -0
  22. skfolio/model_selection/_walk_forward.py +221 -0
  23. skfolio/moments/__init__.py +41 -0
  24. skfolio/moments/covariance/__init__.py +29 -0
  25. skfolio/moments/covariance/_base.py +101 -0
  26. skfolio/moments/covariance/_covariance.py +1108 -0
  27. skfolio/moments/expected_returns/__init__.py +21 -0
  28. skfolio/moments/expected_returns/_base.py +31 -0
  29. skfolio/moments/expected_returns/_expected_returns.py +415 -0
  30. skfolio/optimization/__init__.py +36 -0
  31. skfolio/optimization/_base.py +147 -0
  32. skfolio/optimization/cluster/__init__.py +13 -0
  33. skfolio/optimization/cluster/_nco.py +348 -0
  34. skfolio/optimization/cluster/hierarchical/__init__.py +13 -0
  35. skfolio/optimization/cluster/hierarchical/_base.py +440 -0
  36. skfolio/optimization/cluster/hierarchical/_herc.py +406 -0
  37. skfolio/optimization/cluster/hierarchical/_hrp.py +368 -0
  38. skfolio/optimization/convex/__init__.py +16 -0
  39. skfolio/optimization/convex/_base.py +1944 -0
  40. skfolio/optimization/convex/_distributionally_robust.py +392 -0
  41. skfolio/optimization/convex/_maximum_diversification.py +417 -0
  42. skfolio/optimization/convex/_mean_risk.py +974 -0
  43. skfolio/optimization/convex/_risk_budgeting.py +560 -0
  44. skfolio/optimization/ensemble/__init__.py +6 -0
  45. skfolio/optimization/ensemble/_base.py +87 -0
  46. skfolio/optimization/ensemble/_stacking.py +326 -0
  47. skfolio/optimization/naive/__init__.py +3 -0
  48. skfolio/optimization/naive/_naive.py +173 -0
  49. skfolio/population/__init__.py +3 -0
  50. skfolio/population/_population.py +883 -0
  51. skfolio/portfolio/__init__.py +13 -0
  52. skfolio/portfolio/_base.py +1096 -0
  53. skfolio/portfolio/_multi_period_portfolio.py +610 -0
  54. skfolio/portfolio/_portfolio.py +842 -0
  55. skfolio/pre_selection/__init__.py +7 -0
  56. skfolio/pre_selection/_pre_selection.py +342 -0
  57. skfolio/preprocessing/__init__.py +3 -0
  58. skfolio/preprocessing/_returns.py +114 -0
  59. skfolio/prior/__init__.py +18 -0
  60. skfolio/prior/_base.py +63 -0
  61. skfolio/prior/_black_litterman.py +238 -0
  62. skfolio/prior/_empirical.py +163 -0
  63. skfolio/prior/_factor_model.py +268 -0
  64. skfolio/typing.py +50 -0
  65. skfolio/uncertainty_set/__init__.py +23 -0
  66. skfolio/uncertainty_set/_base.py +108 -0
  67. skfolio/uncertainty_set/_bootstrap.py +281 -0
  68. skfolio/uncertainty_set/_empirical.py +237 -0
  69. skfolio/utils/__init__.py +0 -0
  70. skfolio/utils/bootstrap.py +115 -0
  71. skfolio/utils/equations.py +350 -0
  72. skfolio/utils/sorting.py +117 -0
  73. skfolio/utils/stats.py +466 -0
  74. skfolio/utils/tools.py +567 -0
  75. skfolio-0.0.1.dist-info/LICENSE +29 -0
  76. skfolio-0.0.1.dist-info/METADATA +568 -0
  77. skfolio-0.0.1.dist-info/RECORD +79 -0
  78. skfolio-0.0.1.dist-info/WHEEL +5 -0
  79. skfolio-0.0.1.dist-info/top_level.txt +1 -0
skfolio/portfolio/__init__.py ADDED
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+ """Portfolio module.
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+ `Portfolio` and `MultiPeriodPortfolio` objects are returned by the `predict` method of
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+ Optimization estimators.
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+ They need to be homogenous to the convex optimization problems meaning that `Portfolio`
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+ is the dot product of the assets weights with the assets returns and
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+ `MultiPeriodPortfolio` is a list of `Portfolio`.
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+ """
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+
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+ from skfolio.portfolio._base import BasePortfolio
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+ from skfolio.portfolio._multi_period_portfolio import MultiPeriodPortfolio
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+ from skfolio.portfolio._portfolio import Portfolio
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+
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+ __all__ = ["BasePortfolio", "Portfolio", "MultiPeriodPortfolio"]