skfolio 0.2.0__tar.gz → 0.2.1__tar.gz

{skfolio-0.2.0/src/skfolio.egg-info → skfolio-0.2.1}/PKG-INFO

@@ -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>
@@ -564,7 +564,7 @@ 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 → skfolio-0.2.1}/README.rst

@@ -479,7 +479,7 @@ 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 → skfolio-0.2.1}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "skfolio"
-version = "0.2.0"
+version = "0.2.1"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
 ]

{skfolio-0.2.0 → skfolio-0.2.1}/src/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-0.2.0 → skfolio-0.2.1}/src/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 → skfolio-0.2.1/src/skfolio.egg-info}/PKG-INFO

@@ -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>
@@ -564,7 +564,7 @@ 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(