skfolio 0.2.3__py3-none-any.whl → 0.3.0__py3-none-any.whl

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (52) hide show
  1. skfolio/datasets/__init__.py +2 -0
  2. skfolio/datasets/_base.py +51 -0
  3. skfolio/distance/_distance.py +15 -4
  4. skfolio/model_selection/_combinatorial.py +2 -2
  5. skfolio/model_selection/_validation.py +70 -15
  6. skfolio/model_selection/_walk_forward.py +3 -3
  7. skfolio/moments/__init__.py +2 -0
  8. skfolio/moments/covariance/__init__.py +11 -11
  9. skfolio/moments/covariance/_base.py +10 -9
  10. skfolio/moments/covariance/_denoise_covariance.py +181 -0
  11. skfolio/moments/covariance/_detone_covariance.py +158 -0
  12. skfolio/moments/covariance/_empirical_covariance.py +100 -0
  13. skfolio/moments/covariance/_ew_covariance.py +109 -0
  14. skfolio/moments/covariance/_gerber_covariance.py +157 -0
  15. skfolio/moments/covariance/_graphical_lasso_cv.py +194 -0
  16. skfolio/moments/covariance/_implied_covariance.py +454 -0
  17. skfolio/moments/covariance/_ledoit_wolf.py +140 -0
  18. skfolio/moments/covariance/_oas.py +115 -0
  19. skfolio/moments/covariance/_shrunk_covariance.py +104 -0
  20. skfolio/moments/expected_returns/__init__.py +4 -7
  21. skfolio/moments/expected_returns/_empirical_mu.py +63 -0
  22. skfolio/moments/expected_returns/_equilibrium_mu.py +124 -0
  23. skfolio/moments/expected_returns/_ew_mu.py +69 -0
  24. skfolio/moments/expected_returns/{_expected_returns.py → _shrunk_mu.py} +22 -200
  25. skfolio/optimization/cluster/_nco.py +46 -8
  26. skfolio/optimization/cluster/hierarchical/_base.py +21 -1
  27. skfolio/optimization/cluster/hierarchical/_herc.py +18 -4
  28. skfolio/optimization/cluster/hierarchical/_hrp.py +13 -4
  29. skfolio/optimization/convex/_base.py +10 -1
  30. skfolio/optimization/convex/_distributionally_robust.py +12 -2
  31. skfolio/optimization/convex/_maximum_diversification.py +9 -2
  32. skfolio/optimization/convex/_mean_risk.py +33 -6
  33. skfolio/optimization/convex/_risk_budgeting.py +5 -2
  34. skfolio/optimization/ensemble/_stacking.py +32 -9
  35. skfolio/optimization/naive/_naive.py +20 -2
  36. skfolio/population/_population.py +2 -0
  37. skfolio/prior/_base.py +1 -1
  38. skfolio/prior/_black_litterman.py +20 -2
  39. skfolio/prior/_empirical.py +38 -5
  40. skfolio/prior/_factor_model.py +44 -7
  41. skfolio/uncertainty_set/_base.py +30 -9
  42. skfolio/uncertainty_set/_bootstrap.py +26 -10
  43. skfolio/uncertainty_set/_empirical.py +25 -10
  44. skfolio/utils/stats.py +24 -3
  45. skfolio/utils/tools.py +213 -79
  46. {skfolio-0.2.3.dist-info → skfolio-0.3.0.dist-info}/METADATA +3 -2
  47. skfolio-0.3.0.dist-info/RECORD +91 -0
  48. {skfolio-0.2.3.dist-info → skfolio-0.3.0.dist-info}/WHEEL +1 -1
  49. skfolio/moments/covariance/_covariance.py +0 -1114
  50. skfolio-0.2.3.dist-info/RECORD +0 -79
  51. {skfolio-0.2.3.dist-info → skfolio-0.3.0.dist-info}/LICENSE +0 -0
  52. {skfolio-0.2.3.dist-info → skfolio-0.3.0.dist-info}/top_level.txt +0 -0
skfolio-0.2.3.dist-info/RECORD DELETED
@@ -1,79 +0,0 @@
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- skfolio/__init__.py,sha256=5pn5LpTz6v2j2sxGkY97cVRrSPsN3Yav9b6Uw08boEI,618
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- skfolio/exceptions.py,sha256=-XniKql9QHgfitMgHsE9UXWVPdjWpNGO2dVk2SsdPWE,662
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- skfolio/typing.py,sha256=yEZiCZ6UIyfYUqtfj9Kf2KA9mrjUbmxyzpH9uqVboJs,1378
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- skfolio/cluster/__init__.py,sha256=4g-PFB_ld9BhiQ1ZPvvAorpFbRwd_p_DkeRlulDv2Hk,251
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- skfolio/cluster/_hierarchical.py,sha256=16INBe5HB7ALODO3RNI8ZjOYALtMZa3U_7EP1aEIxp8,12819
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- skfolio/datasets/__init__.py,sha256=9Tpf0Uj8wgr-g7xqvqQP4S4TUYDUNmNmK8t6lqBw2Fs,407
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- skfolio/datasets/_base.py,sha256=laAj8vE8evEKv6NAAJdypLrsfmlhqOJ27aP_AcpcxVQ,13952
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- skfolio/datasets/data/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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- skfolio/datasets/data/factors_dataset.csv.gz,sha256=brCJlT25DJo40yg1gnUXAakNtvWZZYR_1ksFeN5JcWE,36146
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- skfolio/datasets/data/sp500_dataset.csv.gz,sha256=7iHKwovvsdCnOanOsiGE-ZU5RyaqDP3pohlB0awErA0,426065
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- skfolio/datasets/data/sp500_index.csv.gz,sha256=iUw0QxwoT4aqZKRn4Xbio8m2l8hX65qzUAbC3VXT_fI,41898
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- skfolio/distance/__init__.py,sha256=vpdmjFlJeI0AvPV3r5tp2zooAG4N9ihCwPlaqqdVj1w,547
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- skfolio/distance/_base.py,sha256=jBgRk6lZrP1woSI9541fTfxBBkp4WCTLlRPmWcmA3j4,1326
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- skfolio/distance/_distance.py,sha256=nQRm141leyCXtjxqXNhsTPtq2dATbpyyEQHKhZ98rE4,18538
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- skfolio/measures/__init__.py,sha256=9ThQikIAQcfKRLSCoMr-Z5vE2-ThtYe9B-L40b6Ewg0,1631
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- skfolio/measures/_enums.py,sha256=NJcngwg9b2JMMiekwkWU9POfnDvgfUgtYtyV2VSFDVM,8934
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- skfolio/measures/_measures.py,sha256=VU9tahJKJvt8PaJZNxWkmFkFU4PsN0FfYO32Je6D53E,16829
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- skfolio/metrics/__init__.py,sha256=MomHJ5_bgjq4qUwGS2bfhNmG_ld0oQ4wK6y0Yy_Eonc,75
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- skfolio/metrics/_scorer.py,sha256=h1VuZk-zzn4rIChHl9FvM7RxqVT3b-jR1CEB-cr9F2s,4306
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- skfolio/model_selection/__init__.py,sha256=8j9Z5tpbgBScjFbn8ZsCm_6rZO7RkPQ1QIF8BqYMVA8,507
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- skfolio/model_selection/_combinatorial.py,sha256=DHfbnjqaOGV5bT_9pGuoR23JN6iEp8Tn0Kr6sLq1Xmg,19045
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- skfolio/model_selection/_validation.py,sha256=Rs3j6LFfm8HJCnaoUXlPnNsqxIyjRmMhmGWvvJ0olXA,7686
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- skfolio/model_selection/_walk_forward.py,sha256=pbMD8VM1OoKiEtrlPeCLG29xVijsq1RArSjTvGO1FnU,7539
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- skfolio/moments/__init__.py,sha256=BaP6FjU-CEsV_mcC2AOKXNFy-_wXZsk-jqzJG6mTpsM,746
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- skfolio/moments/covariance/__init__.py,sha256=KuzhGuiu-eOwQMgWmEhFhqCcOmiayrYp5yeL1NsFW98,563
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- skfolio/moments/covariance/_base.py,sha256=mJ61A-zWU6mIXmGKzP3hoGEZyMpPV6qNeSM-VcScaWY,3955
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- skfolio/moments/covariance/_covariance.py,sha256=AyLm15Y5aziAJGg5P58_sXoW4jf4inV8PAs2Ye1zEyA,39003
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- skfolio/moments/expected_returns/__init__.py,sha256=NETEcKKYKsQvzUU4ZIq6mgT14zdrgGS6pb5Dy3qMEAE,367
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- skfolio/moments/expected_returns/_base.py,sha256=xk9mzi48uCOHaMTGQBMr3FU7Ai_shxYhmGeOsVwjv9Q,871
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- skfolio/moments/expected_returns/_expected_returns.py,sha256=T_tt_dsYgXrjIM2REUii7_4_R8IEc3xdtuv45yYM-5o,13388
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- skfolio/optimization/__init__.py,sha256=vXIbwWJL48zJ1jy7ZB2PPBVx7rZo0vVA8QQQuD-L6ts,1021
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- skfolio/optimization/_base.py,sha256=LoRONJP70AwbFpdgqVS_g145pCx0JGkazjWvkQzT_iM,5748
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- skfolio/optimization/cluster/__init__.py,sha256=M3xVdYhNKp4e9CB7hzb4yjTxkkNCHh7Mt_KGFFrkOgs,388
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- skfolio/optimization/cluster/_nco.py,sha256=MKzNvDIAbqS_D41Vp7tNa7OrXYq_bYVSQEVbVCHOEWA,14834
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- skfolio/optimization/cluster/hierarchical/__init__.py,sha256=YnfcPHvjwB6kcG4hoQqc0NqIJKaG7OjBtmXNbOxCq08,405
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- skfolio/optimization/cluster/hierarchical/_base.py,sha256=BVJ8Yq2Yg3Z0iqgx0HwS2OxPLVruoSzrelyYQmt_AiQ,17281
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- skfolio/optimization/cluster/hierarchical/_herc.py,sha256=p7VdEeJOD5ykA1H9FOLaEqIL6D_YYF8VXXfAqTSRdjs,17238
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- skfolio/optimization/cluster/hierarchical/_hrp.py,sha256=i3bliOjWxDX3V3vekhl_Gf_MZ4HroU4r_3rAR-QnyK0,16123
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- skfolio/optimization/convex/__init__.py,sha256=F6BPFikTo0B-7JCKazqLGEwM3RkgTNbFm5GAGkaq9Uo,570
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- skfolio/optimization/convex/_base.py,sha256=xvhgSQ5X7Lqz6kzGtldlDLIMV61gwrphW9_qMQSG498,75439
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- skfolio/optimization/convex/_distributionally_robust.py,sha256=PHAZvXb_zRXpeDD90fgxVEQAuYH5EY8fTpYQ8jO9shA,17311
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- skfolio/optimization/convex/_maximum_diversification.py,sha256=vqUJZdR28X75LQ18XXWLGd7yX9-f5wvOByN0UVSyd_Y,19140
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- skfolio/optimization/convex/_mean_risk.py,sha256=q9aH_thsmKeK_3-8jQOLN1S9z9DXvZmYGgj0a2ezAl0,43134
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- skfolio/optimization/convex/_risk_budgeting.py,sha256=pRMTA-CCTsV-yysADA3b9RDjLGPk4Jw0eP5ZVQ5W_sc,23622
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- skfolio/optimization/ensemble/__init__.py,sha256=8TXxcxH2_gG3C1xtgQj9OHHr0Le8lhdejtlURL6T3ZY,158
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- skfolio/optimization/ensemble/_base.py,sha256=GaNDQu6ivosYuwMrb-b0PhToCsNrmhSYyXkxeM8W4rU,3399
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- skfolio/optimization/ensemble/_stacking.py,sha256=2PodXf_JahToShSAbwQRXosEer3ESOAhpsnB6SCwztk,13148
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- skfolio/optimization/naive/__init__.py,sha256=Dkr55R48urC-jfYN007NTbei16N91Na_EDYLVqzhGgQ,147
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- skfolio/optimization/naive/_naive.py,sha256=lXBUK0-JZd_30xUqnwv3IN1-yvKNVrub2A4ZVdfjmnY,5570
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- skfolio/population/__init__.py,sha256=rsPPMUv95aTK7vmpPeQwF8NzFuBwk6RDo5g4HNaPzNM,80
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- skfolio/population/_population.py,sha256=TqyzJbz82asy9OwJmFDJqGqn9eFOC4Xn4ompGicTyJI,29124
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- skfolio/portfolio/__init__.py,sha256=YYtcAPmA2zeCxFGTXegg2FXcA7py6CxOX7IMTdYuXl0,586
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- skfolio/portfolio/_base.py,sha256=XbvCdlhwP-mgnbVppoZxv8gr_IgCv8csx71LigqZ0-M,38282
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- skfolio/portfolio/_multi_period_portfolio.py,sha256=Zt2khkaeVwZjUKvL0NAk5kLJtfO19hup3YxCGdgk5Mk,22719
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- skfolio/portfolio/_portfolio.py,sha256=sSDX2HzK2KgatCgQakEhENOLE-3jSfwI_xgbiVrCGUY,31609
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- skfolio/pre_selection/__init__.py,sha256=VtUtDn-U-Mn_xR2k7yfld0Yb0rPhLakEAiBwUyi-4Z8,189
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- skfolio/pre_selection/_pre_selection.py,sha256=w84T14nKmzkgzbw5CW_AIlci741lXYxKUwB5pBjhTTI,12163
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- skfolio/preprocessing/__init__.py,sha256=15A1bzfPsbfxxXgGP1gstf4R0E_347Wn18z5W5jH-hk,94
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- skfolio/preprocessing/_returns.py,sha256=oo1Mm-UCHwq4ECjfmsRxWzzK1EPsuv-EEtnimvv_nXo,4345
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- skfolio/prior/__init__.py,sha256=jql8NTiWlykPKJUXTOPdqm531mP8Pul1QAR6hXTXA6c,446
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- skfolio/prior/_base.py,sha256=Dx6rX0X6ymDiieFOI-ik3xMNNFhYEtwLSXOdajf5wZY,1927
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- skfolio/prior/_black_litterman.py,sha256=sVx8113xeP4B6LA4rICKp0cgw7w3F46aQzIQY_34QwQ,9400
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- skfolio/prior/_empirical.py,sha256=eHBSXVzIEvA2oBAnv6HW9D8iy3xKDxpCN_xsg8j8Ye8,5821
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- skfolio/prior/_factor_model.py,sha256=xC-womM7oC91jRaIQP7MSiRPkwm5b7pkWHi-5mOb2jY,9665
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- skfolio/uncertainty_set/__init__.py,sha256=LlMHtYv9G9fgtM7m4sCSToS9et57Pm2Q2gGchTVrj6c,617
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- skfolio/uncertainty_set/_base.py,sha256=rZ3g2AhDKFQTPajgh6Fz5S5TTf0qM4Ie6RGxPhp32D8,3301
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- skfolio/uncertainty_set/_bootstrap.py,sha256=Rig8ZGc8rEOnYygPyTaDSu5lp3wGuZrQVRoJTm3UuAA,10301
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- skfolio/uncertainty_set/_empirical.py,sha256=81DoTFxWsx8dALVRbvVEc6mBfgC-QIkUOK60dhkgFUI,8429
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- skfolio/utils/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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- skfolio/utils/bootstrap.py,sha256=3zY2kO_GQURKEcQMCasJOSByde9Mt2IAi3KJH0_a4mk,3550
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- skfolio/utils/equations.py,sha256=w0HsYjA7cS0mHYsI9MpixHLkof3HN26nc14ZfqFrHlE,11047
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- skfolio/utils/sorting.py,sha256=lSjMvH2L-sSj-06B3MlwBrH1rtjCeGEe4hG894W7TE0,3504
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- skfolio/utils/stats.py,sha256=KFzYvaa_F-q7bHZxEewrUDdFSnLX0VR3rcVQ5J7t_fw,13140
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- skfolio/utils/tools.py,sha256=xa42f7U3Ki8-CJS6g8w7bKCLI_QMJ8D6LxLBjlEM7Ok,15374
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- skfolio-0.2.3.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
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- skfolio-0.2.3.dist-info/METADATA,sha256=-S4opBaQQP7Dvs59BoAqEV8tlwAMBIxswY0H1rPRAsw,19592
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- skfolio-0.2.3.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
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- skfolio-0.2.3.dist-info/RECORD,,