skfolio 0.2.0__py3-none-any.whl → 0.2.1__py3-none-any.whl

skfolio/prior/_black_litterman.py

@@ -156,7 +156,7 @@ class BlackLitterman(BasePrior):
             check_type=BasePrior,
         )
         # fitting prior estimator
-        self.prior_estimator_.fit(X)
+        self.prior_estimator_.fit(X, y)
 
         prior_mu = self.prior_estimator_.prior_model_.mu
         prior_covariance = self.prior_estimator_.prior_model_.covariance

skfolio/prior/_empirical.py

@@ -120,11 +120,11 @@ class EmpiricalPrior(BasePrior):
                     "`is_log_normal` is `False`"
                 )
             # Expected returns
-            self.mu_estimator_.fit(X)
+            self.mu_estimator_.fit(X, y)
             mu = self.mu_estimator_.mu_
 
             # Covariance
-            self.covariance_estimator_.fit(X)
+            self.covariance_estimator_.fit(X, y)
             covariance = self.covariance_estimator_.covariance_
         else:
             if self.investment_horizon is None:
@@ -134,14 +134,15 @@ class EmpiricalPrior(BasePrior):
                 )
             # Convert linear returns to log returns
             X_log = np.log(1 + X)
+            y_log = np.log(1 + y) if y is not None else None
 
             # Estimates the moments on the log returns
             # Expected returns
-            self.mu_estimator_.fit(X_log)
+            self.mu_estimator_.fit(X_log, y_log)
             mu = self.mu_estimator_.mu_
 
             # Covariance
-            self.covariance_estimator_.fit(X_log)
+            self.covariance_estimator_.fit(X_log, y_log)
             covariance = self.covariance_estimator_.covariance_
 
             # Using the property of aggregation across time we scale this distribution

{skfolio-0.2.0.dist-info → skfolio-0.2.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.2.0
+Version: 0.2.1
 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>
@@ -563,7 +563,7 @@ Black & Litterman Factor Model
 ------------------------------
 .. code-block:: python
 
-    factor_views = ["MTUM - QUAL == 0.03 ", "SIZE - TLT == 0.04", "VLUE == 0.06"]
+    factor_views = ["MTUM - QUAL == 0.03 ", "VLUE == 0.06"]
     model = MeanRisk(
         objective_function=ObjectiveFunction.MAXIMIZE_RATIO,
         prior_estimator=FactorModel(

{skfolio-0.2.0.dist-info → skfolio-0.2.1.dist-info}/RECORD

@@ -59,8 +59,8 @@ skfolio/preprocessing/__init__.py,sha256=15A1bzfPsbfxxXgGP1gstf4R0E_347Wn18z5W5j
 skfolio/preprocessing/_returns.py,sha256=_7UtXugQPWitNrrZ3M2dUOAun8aVr0lI45Ms6KFiS94,3826
 skfolio/prior/__init__.py,sha256=jql8NTiWlykPKJUXTOPdqm531mP8Pul1QAR6hXTXA6c,446
 skfolio/prior/_base.py,sha256=Dx6rX0X6ymDiieFOI-ik3xMNNFhYEtwLSXOdajf5wZY,1927
-skfolio/prior/_black_litterman.py,sha256=JuwVXLXY5qHETBZDg0wmBGMSQehJp_1t7c1-kanKaiU,9397
-skfolio/prior/_empirical.py,sha256=YhCYW8R3vqs3ntF4WSokuwLW6Gd98df7f8LL8zCS-D0,5740
+skfolio/prior/_black_litterman.py,sha256=sVx8113xeP4B6LA4rICKp0cgw7w3F46aQzIQY_34QwQ,9400
+skfolio/prior/_empirical.py,sha256=eHBSXVzIEvA2oBAnv6HW9D8iy3xKDxpCN_xsg8j8Ye8,5821
 skfolio/prior/_factor_model.py,sha256=xC-womM7oC91jRaIQP7MSiRPkwm5b7pkWHi-5mOb2jY,9665
 skfolio/uncertainty_set/__init__.py,sha256=LlMHtYv9G9fgtM7m4sCSToS9et57Pm2Q2gGchTVrj6c,617
 skfolio/uncertainty_set/_base.py,sha256=rZ3g2AhDKFQTPajgh6Fz5S5TTf0qM4Ie6RGxPhp32D8,3301
@@ -74,8 +74,8 @@ skfolio/utils/stats.py,sha256=IP36nMc5j5Hcqjbg7lvDIsGp1GWRdOh5jU3W6Z8nkYs,13132
 skfolio/utils/tools.py,sha256=xa42f7U3Ki8-CJS6g8w7bKCLI_QMJ8D6LxLBjlEM7Ok,15374
 skfolio/utils/fixes/__init__.py,sha256=knHau8PRZP07XDHR59CW8VWxkpTP0gdr6RAHJrO-zaA,95
 skfolio/utils/fixes/_dendrogram.py,sha256=9aIhSnMwpQHJhQx7IpXC3jlw6YJ3H4XQnnx_d4nMllQ,13551
-skfolio-0.2.0.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
-skfolio-0.2.0.dist-info/METADATA,sha256=mTx4X6Oymgb_VzpoAXdel_WnafJFUR6Q5rKuL9Td4l8,19607
-skfolio-0.2.0.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
-skfolio-0.2.0.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
-skfolio-0.2.0.dist-info/RECORD,,
+skfolio-0.2.1.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
+skfolio-0.2.1.dist-info/METADATA,sha256=OzW5QNHb_EG_jHtP5lPqWas8EAMyl6FPgS3XP6CXulQ,19585
+skfolio-0.2.1.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
+skfolio-0.2.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
+skfolio-0.2.1.dist-info/RECORD,,