skfolio 0.10.0__tar.gz → 0.10.2__tar.gz

{skfolio-0.10.0/src/skfolio.egg-info → skfolio-0.10.2}/PKG-INFO

@@ -1,9 +1,9 @@
 Metadata-Version: 2.4
 Name: skfolio
-Version: 0.10.0
+Version: 0.10.2
 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>, Matteo Manzi <matteomanzi09@gmail.com>
+Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>, Matteo Manzi <matteomanzi09@gmail.com>, Carlo Nicolini <c.nicolini@ipazia.com>
 License: BSD 3-Clause License
         
         Copyright (c) 2007-2023 The skfolio developers.
@@ -176,7 +176,6 @@ Installation
     pip install -U skfolio
 
 
-
 Dependencies
 ~~~~~~~~~~~~
 
@@ -192,6 +191,23 @@ Dependencies
 - joblib (>= |JoblibMinVersion|)
 - plotly (>= |PlotlyMinVersion|)
 
+Docker
+~~~~~~
+
+You can also spin up a reproducible JupyterLab environment using Docker:
+
+Build the image::
+
+    docker build -t skfolio-jupyterlab .
+
+Run the container::
+
+    docker run -p 8888:8888 -v <path-to-your-folder-containing-data>:/app/data -it skfolio-jupyterlab
+
+Browse:
+
+Open localhost:8888/lab and start using `skfolio`
+
 Key Concepts
 ~~~~~~~~~~~~
 Since the development of modern portfolio theory by Markowitz (1952), mean-variance
@@ -385,6 +401,7 @@ Imports
     )
     from skfolio.optimization import (
         MeanRisk,
+        HierarchicalRiskParity,
         NestedClustersOptimization,
         ObjectiveFunction,
         RiskBudgeting,
@@ -584,11 +601,13 @@ Factor Model
 
     factor_prices = load_factors_dataset()
 
-    X, y = prices_to_returns(prices, factor_prices)
-    X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.33, shuffle=False)
+    X, factors = prices_to_returns(prices, factor_prices)
+    X_train, X_test, factors_train, factors_test = train_test_split(
+        X, factors, test_size=0.33, shuffle=False
+    )
 
     model = MeanRisk(prior_estimator=FactorModel())
-    model.fit(X_train, y_train)
+    model.fit(X_train, factors_train)
 
     print(model.weights_)
 
@@ -597,7 +616,6 @@ Factor Model
     print(portfolio.calmar_ratio)
     print(portfolio.summary())
 
-
 Factor Model & Covariance Detoning
 ----------------------------------
 .. code-block:: python
@@ -658,7 +676,7 @@ Combinatorial Purged Cross-Validation
 
     cv = CombinatorialPurgedCV(n_folds=10, n_test_folds=2)
 
-    print(cv.get_summary(X_train))
+    print(cv.summary(X_train))
 
     population = cross_val_predict(model, X_train, cv=cv)
 
@@ -674,7 +692,7 @@ Minimum CVaR Optimization on Synthetic Returns
 .. code-block:: python
 
     vine = VineCopula(log_transform=True, n_jobs=-1)
-    prior = =SyntheticData(distribution_estimator=vine, n_samples=2000)
+    prior = SyntheticData(distribution_estimator=vine, n_samples=2000)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=prior)
     model.fit(X)
     print(model.weights_)
@@ -684,7 +702,7 @@ Stress Test
 -----------
 .. code-block:: python
 
-    vine = VineCopula(log_transform=True, central_assets=["BAC"]  n_jobs=-1)
+    vine = VineCopula(log_transform=True, central_assets=["BAC"], n_jobs=-1)
     vine.fit(X)
     X_stressed = vine.sample(n_samples=10_000, conditioning = {"BAC": -0.2})
     ptf_stressed = model.predict(X_stressed)
@@ -702,7 +720,7 @@ Minimum CVaR Optimization on Synthetic Factors
     )
     factor_model = FactorModel(factor_prior_estimator=factor_prior)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=factor_model)
-    model.fit(X, y)
+    model.fit(X, factors)
     print(model.weights_)
 
 
@@ -713,7 +731,7 @@ Factor Stress Test
     factor_model.set_params(factor_prior_estimator__sample_args=dict(
         conditioning={"QUAL": -0.5}
     ))
-    factor_model.fit(X,y)
+    factor_model.fit(X, factors)
     stressed_dist = factor_model.return_distribution_
     stressed_ptf = model.predict(stressed_dist)
 
@@ -798,7 +816,7 @@ Recognition
 ~~~~~~~~~~~
 
 We would like to thank all contributors to our direct dependencies, such as
-scikit-learn and cvxpy, as well as the contributors of the following resources that
+`scikit-learn <https://github.com/scikit-learn/scikit-learn>`_ and `cvxpy <https://github.com/cvxpy/cvxpy>`_, as well as the contributors of the following resources that
 served as sources of inspiration:
 
     * PyPortfolioOpt
@@ -807,6 +825,7 @@ served as sources of inspiration:
     * microprediction
     * statsmodels
     * rsome
+    * danielppalomar.com
     * gautier.marti.ai
 
 
@@ -815,12 +834,25 @@ Citation
 
 If you use `skfolio` in a scientific publication, we would appreciate citations:
 
-Bibtex entry::
-
-    @misc{skfolio,
-      author = {Delatte, Hugo and Nicolini, Carlo},
-      title = {skfolio},
-      year  = {2023},
-      url   = {https://github.com/skfolio/skfolio}
-    }
+**The library**::
+
+        @software{skfolio,
+          title     = {skfolio},
+          author    = {Delatte, Hugo and Nicolini, Carlo and Manzi, Matteo},
+          year      = {2024},
+          doi       = {TBD after next release},
+          url       = {https://github.com/skfolio/skfolio}
+        }
+
+**The paper**::
+
+        @article{nicolini2025skfolio,
+          title         = {skfolio: Portfolio Optimization in Python},
+          author        = {Nicolini, Carlo and Manzi, Matteo and Delatte, Hugo},
+          journal       = {arXiv preprint arXiv:2507.04176},
+          year          = {2025},
+          eprint        = {2507.04176},
+          archivePrefix = {arXiv},
+          url           = {https://arxiv.org/abs/2507.04176}
+        }
 

{skfolio-0.10.0 → skfolio-0.10.2}/README.rst

@@ -84,7 +84,6 @@ Installation
     pip install -U skfolio
 
 
-
 Dependencies
 ~~~~~~~~~~~~
 
@@ -100,6 +99,23 @@ Dependencies
 - joblib (>= |JoblibMinVersion|)
 - plotly (>= |PlotlyMinVersion|)
 
+Docker
+~~~~~~
+
+You can also spin up a reproducible JupyterLab environment using Docker:
+
+Build the image::
+
+    docker build -t skfolio-jupyterlab .
+
+Run the container::
+
+    docker run -p 8888:8888 -v <path-to-your-folder-containing-data>:/app/data -it skfolio-jupyterlab
+
+Browse:
+
+Open localhost:8888/lab and start using `skfolio`
+
 Key Concepts
 ~~~~~~~~~~~~
 Since the development of modern portfolio theory by Markowitz (1952), mean-variance
@@ -293,6 +309,7 @@ Imports
     )
     from skfolio.optimization import (
         MeanRisk,
+        HierarchicalRiskParity,
         NestedClustersOptimization,
         ObjectiveFunction,
         RiskBudgeting,
@@ -492,11 +509,13 @@ Factor Model
 
     factor_prices = load_factors_dataset()
 
-    X, y = prices_to_returns(prices, factor_prices)
-    X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.33, shuffle=False)
+    X, factors = prices_to_returns(prices, factor_prices)
+    X_train, X_test, factors_train, factors_test = train_test_split(
+        X, factors, test_size=0.33, shuffle=False
+    )
 
     model = MeanRisk(prior_estimator=FactorModel())
-    model.fit(X_train, y_train)
+    model.fit(X_train, factors_train)
 
     print(model.weights_)
 
@@ -505,7 +524,6 @@ Factor Model
     print(portfolio.calmar_ratio)
     print(portfolio.summary())
 
-
 Factor Model & Covariance Detoning
 ----------------------------------
 .. code-block:: python
@@ -566,7 +584,7 @@ Combinatorial Purged Cross-Validation
 
     cv = CombinatorialPurgedCV(n_folds=10, n_test_folds=2)
 
-    print(cv.get_summary(X_train))
+    print(cv.summary(X_train))
 
     population = cross_val_predict(model, X_train, cv=cv)
 
@@ -582,7 +600,7 @@ Minimum CVaR Optimization on Synthetic Returns
 .. code-block:: python
 
     vine = VineCopula(log_transform=True, n_jobs=-1)
-    prior = =SyntheticData(distribution_estimator=vine, n_samples=2000)
+    prior = SyntheticData(distribution_estimator=vine, n_samples=2000)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=prior)
     model.fit(X)
     print(model.weights_)
@@ -592,7 +610,7 @@ Stress Test
 -----------
 .. code-block:: python
 
-    vine = VineCopula(log_transform=True, central_assets=["BAC"]  n_jobs=-1)
+    vine = VineCopula(log_transform=True, central_assets=["BAC"], n_jobs=-1)
     vine.fit(X)
     X_stressed = vine.sample(n_samples=10_000, conditioning = {"BAC": -0.2})
     ptf_stressed = model.predict(X_stressed)
@@ -610,7 +628,7 @@ Minimum CVaR Optimization on Synthetic Factors
     )
     factor_model = FactorModel(factor_prior_estimator=factor_prior)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=factor_model)
-    model.fit(X, y)
+    model.fit(X, factors)
     print(model.weights_)
 
 
@@ -621,7 +639,7 @@ Factor Stress Test
     factor_model.set_params(factor_prior_estimator__sample_args=dict(
         conditioning={"QUAL": -0.5}
     ))
-    factor_model.fit(X,y)
+    factor_model.fit(X, factors)
     stressed_dist = factor_model.return_distribution_
     stressed_ptf = model.predict(stressed_dist)
 
@@ -706,7 +724,7 @@ Recognition
 ~~~~~~~~~~~
 
 We would like to thank all contributors to our direct dependencies, such as
-scikit-learn and cvxpy, as well as the contributors of the following resources that
+`scikit-learn <https://github.com/scikit-learn/scikit-learn>`_ and `cvxpy <https://github.com/cvxpy/cvxpy>`_, as well as the contributors of the following resources that
 served as sources of inspiration:
 
     * PyPortfolioOpt
@@ -715,6 +733,7 @@ served as sources of inspiration:
     * microprediction
     * statsmodels
     * rsome
+    * danielppalomar.com
     * gautier.marti.ai
 
 
@@ -723,12 +742,25 @@ Citation
 
 If you use `skfolio` in a scientific publication, we would appreciate citations:
 
-Bibtex entry::
-
-    @misc{skfolio,
-      author = {Delatte, Hugo and Nicolini, Carlo},
-      title = {skfolio},
-      year  = {2023},
-      url   = {https://github.com/skfolio/skfolio}
-    }
+**The library**::
+
+        @software{skfolio,
+          title     = {skfolio},
+          author    = {Delatte, Hugo and Nicolini, Carlo and Manzi, Matteo},
+          year      = {2024},
+          doi       = {TBD after next release},
+          url       = {https://github.com/skfolio/skfolio}
+        }
+
+**The paper**::
+
+        @article{nicolini2025skfolio,
+          title         = {skfolio: Portfolio Optimization in Python},
+          author        = {Nicolini, Carlo and Manzi, Matteo and Delatte, Hugo},
+          journal       = {arXiv preprint arXiv:2507.04176},
+          year          = {2025},
+          eprint        = {2507.04176},
+          archivePrefix = {arXiv},
+          url           = {https://arxiv.org/abs/2507.04176}
+        }
 

{skfolio-0.10.0 → skfolio-0.10.2}/pyproject.toml

@@ -4,10 +4,11 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "skfolio"
-version = "0.10.0"
+version = "0.10.2"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
-    { name = "Matteo Manzi", email = "matteomanzi09@gmail.com" }
+    { name = "Matteo Manzi", email = "matteomanzi09@gmail.com" },
+    { name = "Carlo Nicolini", email = "c.nicolini@ipazia.com" }
 ]
 authors = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },

{skfolio-0.10.0 → skfolio-0.10.2}/src/skfolio/measures/_measures.py

@@ -136,7 +136,9 @@ def variance(
     if sample_weight is None:
         return np.var(returns, ddof=0 if biased else 1, axis=0)
 
-    biased_var = sample_weight @ (returns - mean(returns)) ** 2
+    biased_var = (
+        sample_weight @ (returns - mean(returns, sample_weight=sample_weight)) ** 2
+    )
     if biased:
         return biased_var
     n_eff = 1 / np.sum(sample_weight**2)
@@ -177,7 +179,7 @@ def semi_variance(
         If `returns` is a 2D-array, the result is a ndarray of shape (n_assets,).
     """
     if min_acceptable_return is None:
-        min_acceptable_return = mean(returns)
+        min_acceptable_return = mean(returns, sample_weight=sample_weight)
 
     biased_semi_var = mean(
         np.maximum(0, min_acceptable_return - returns) ** 2, sample_weight=sample_weight

{skfolio-0.10.0 → skfolio-0.10.2}/src/skfolio/prior/_empirical.py

@@ -191,6 +191,7 @@ class EmpiricalPrior(BasePrior):
             # horizon
             mu = np.exp(mu + 0.5 * np.diag(covariance))
             covariance = np.outer(mu, mu) * (np.exp(covariance) - 1)
+            mu -= 1
 
         # we validate and convert to numpy after all models have been fitted to keep
         # features names information.

{skfolio-0.10.0 → skfolio-0.10.2}/src/skfolio/prior/_entropy_pooling.py

@@ -589,10 +589,10 @@ class EntropyPooling(BasePrior):
 
         Parameters
         ----------
-        a : ndarray of shape (n_observations, n_constrains)
+        a : ndarray of shape (n_observations, n_constraints)
             Left matrix in `x @ a == b` or `x @ a <= b`.
 
-        a : ndarray of shape (n_observations, n_constrains)
+        a : ndarray of shape (n_observations, n_constraints)
             Right vector in `x @ a == b` or `x @ a <= b`.
 
         Returns
@@ -1029,16 +1029,16 @@ class EntropyPooling(BasePrior):
 
         """
         n_observations, _ = self._returns.shape
-        # Init constrains with sum(p)==1, rescaled by its norm
+        # Init constraints with sum(p)==1, rescaled by its norm
         # Has better convergence than the normalized form done inside the dual.
         a = [np.ones(n_observations).reshape(-1, 1) / np.sqrt(n_observations)]
         b = [np.array([1.0]) / np.sqrt(n_observations)]
         bounds = [(None, None)]
-        for name, constrains in self._constraints.items():
-            if constrains is not None:
-                a.append(constrains[0])
-                b.append(constrains[1])
-                s = constrains[1].size
+        for name, constraints in self._constraints.items():
+            if constraints is not None:
+                a.append(constraints[0])
+                b.append(constraints[1])
+                s = constraints[1].size
                 match name:
                     case "equality" | "cvar_equality":
                         bounds += [(None, None)] * s
@@ -1145,7 +1145,7 @@ class EntropyPooling(BasePrior):
 
         if self._constraints["fixed_equality"] is not None:
             a, b = self._constraints["fixed_equality"]
-            # Relaxe the problem with slack variables with a norm1 penalty to avoid
+            # Relax the problem with slack variables with a norm1 penalty to avoid
             # solver infeasibility that may arise from overly tight constraints from
             # fixing the moments.
             slack = cp.Variable(b.size)

{skfolio-0.10.0 → skfolio-0.10.2/src/skfolio.egg-info}/PKG-INFO

@@ -1,9 +1,9 @@
 Metadata-Version: 2.4
 Name: skfolio
-Version: 0.10.0
+Version: 0.10.2
 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>, Matteo Manzi <matteomanzi09@gmail.com>
+Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>, Matteo Manzi <matteomanzi09@gmail.com>, Carlo Nicolini <c.nicolini@ipazia.com>
 License: BSD 3-Clause License
         
         Copyright (c) 2007-2023 The skfolio developers.
@@ -176,7 +176,6 @@ Installation
     pip install -U skfolio
 
 
-
 Dependencies
 ~~~~~~~~~~~~
 
@@ -192,6 +191,23 @@ Dependencies
 - joblib (>= |JoblibMinVersion|)
 - plotly (>= |PlotlyMinVersion|)
 
+Docker
+~~~~~~
+
+You can also spin up a reproducible JupyterLab environment using Docker:
+
+Build the image::
+
+    docker build -t skfolio-jupyterlab .
+
+Run the container::
+
+    docker run -p 8888:8888 -v <path-to-your-folder-containing-data>:/app/data -it skfolio-jupyterlab
+
+Browse:
+
+Open localhost:8888/lab and start using `skfolio`
+
 Key Concepts
 ~~~~~~~~~~~~
 Since the development of modern portfolio theory by Markowitz (1952), mean-variance
@@ -385,6 +401,7 @@ Imports
     )
     from skfolio.optimization import (
         MeanRisk,
+        HierarchicalRiskParity,
         NestedClustersOptimization,
         ObjectiveFunction,
         RiskBudgeting,
@@ -584,11 +601,13 @@ Factor Model
 
     factor_prices = load_factors_dataset()
 
-    X, y = prices_to_returns(prices, factor_prices)
-    X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.33, shuffle=False)
+    X, factors = prices_to_returns(prices, factor_prices)
+    X_train, X_test, factors_train, factors_test = train_test_split(
+        X, factors, test_size=0.33, shuffle=False
+    )
 
     model = MeanRisk(prior_estimator=FactorModel())
-    model.fit(X_train, y_train)
+    model.fit(X_train, factors_train)
 
     print(model.weights_)
 
@@ -597,7 +616,6 @@ Factor Model
     print(portfolio.calmar_ratio)
     print(portfolio.summary())
 
-
 Factor Model & Covariance Detoning
 ----------------------------------
 .. code-block:: python
@@ -658,7 +676,7 @@ Combinatorial Purged Cross-Validation
 
     cv = CombinatorialPurgedCV(n_folds=10, n_test_folds=2)
 
-    print(cv.get_summary(X_train))
+    print(cv.summary(X_train))
 
     population = cross_val_predict(model, X_train, cv=cv)
 
@@ -674,7 +692,7 @@ Minimum CVaR Optimization on Synthetic Returns
 .. code-block:: python
 
     vine = VineCopula(log_transform=True, n_jobs=-1)
-    prior = =SyntheticData(distribution_estimator=vine, n_samples=2000)
+    prior = SyntheticData(distribution_estimator=vine, n_samples=2000)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=prior)
     model.fit(X)
     print(model.weights_)
@@ -684,7 +702,7 @@ Stress Test
 -----------
 .. code-block:: python
 
-    vine = VineCopula(log_transform=True, central_assets=["BAC"]  n_jobs=-1)
+    vine = VineCopula(log_transform=True, central_assets=["BAC"], n_jobs=-1)
     vine.fit(X)
     X_stressed = vine.sample(n_samples=10_000, conditioning = {"BAC": -0.2})
     ptf_stressed = model.predict(X_stressed)
@@ -702,7 +720,7 @@ Minimum CVaR Optimization on Synthetic Factors
     )
     factor_model = FactorModel(factor_prior_estimator=factor_prior)
     model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=factor_model)
-    model.fit(X, y)
+    model.fit(X, factors)
     print(model.weights_)
 
 
@@ -713,7 +731,7 @@ Factor Stress Test
     factor_model.set_params(factor_prior_estimator__sample_args=dict(
         conditioning={"QUAL": -0.5}
     ))
-    factor_model.fit(X,y)
+    factor_model.fit(X, factors)
     stressed_dist = factor_model.return_distribution_
     stressed_ptf = model.predict(stressed_dist)
 
@@ -798,7 +816,7 @@ Recognition
 ~~~~~~~~~~~
 
 We would like to thank all contributors to our direct dependencies, such as
-scikit-learn and cvxpy, as well as the contributors of the following resources that
+`scikit-learn <https://github.com/scikit-learn/scikit-learn>`_ and `cvxpy <https://github.com/cvxpy/cvxpy>`_, as well as the contributors of the following resources that
 served as sources of inspiration:
 
     * PyPortfolioOpt
@@ -807,6 +825,7 @@ served as sources of inspiration:
     * microprediction
     * statsmodels
     * rsome
+    * danielppalomar.com
     * gautier.marti.ai
 
 
@@ -815,12 +834,25 @@ Citation
 
 If you use `skfolio` in a scientific publication, we would appreciate citations:
 
-Bibtex entry::
-
-    @misc{skfolio,
-      author = {Delatte, Hugo and Nicolini, Carlo},
-      title = {skfolio},
-      year  = {2023},
-      url   = {https://github.com/skfolio/skfolio}
-    }
+**The library**::
+
+        @software{skfolio,
+          title     = {skfolio},
+          author    = {Delatte, Hugo and Nicolini, Carlo and Manzi, Matteo},
+          year      = {2024},
+          doi       = {TBD after next release},
+          url       = {https://github.com/skfolio/skfolio}
+        }
+
+**The paper**::
+
+        @article{nicolini2025skfolio,
+          title         = {skfolio: Portfolio Optimization in Python},
+          author        = {Nicolini, Carlo and Manzi, Matteo and Delatte, Hugo},
+          journal       = {arXiv preprint arXiv:2507.04176},
+          year          = {2025},
+          eprint        = {2507.04176},
+          archivePrefix = {arXiv},
+          url           = {https://arxiv.org/abs/2507.04176}
+        }