skfolio 0.2.3__py3-none-any.whl → 0.3.1__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 +462 -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-0.3.1.dist-info}/METADATA +3 -2
  47. skfolio-0.3.1.dist-info/RECORD +91 -0
  48. {skfolio-0.2.3.dist-info → skfolio-0.3.1.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-0.3.1.dist-info}/LICENSE +0 -0
  52. {skfolio-0.2.3.dist-info → skfolio-0.3.1.dist-info}/top_level.txt +0 -0
skfolio-0.3.1.dist-info/RECORD ADDED
@@ -0,0 +1,91 @@
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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=TKzb3wucwuaBI7V8GSiEIun-oaV0W0Mhl_XJgMjlajU,481
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+ skfolio/datasets/_base.py,sha256=-SPN7BA58PiGu4OMIs-bmOMk8qp9aLiRVsBDyI0zsi4,15903
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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
13
+ skfolio/distance/_base.py,sha256=jBgRk6lZrP1woSI9541fTfxBBkp4WCTLlRPmWcmA3j4,1326
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+ skfolio/distance/_distance.py,sha256=yRyyxMXqKYOiuXdq35aQ2MfS8fp6Xh9BR_ABbUVkaGg,19034
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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=cS_W_4uA2aUC0eRbqbRnfezRRxUpm2_HGs1S5ea0q6E,19045
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+ skfolio/model_selection/_validation.py,sha256=3eFYzPejjDZljc33vRehDuBQTEKCkrj-mZihMVuGA4s,10034
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+ skfolio/model_selection/_walk_forward.py,sha256=Y3xB7X0zVELBHtn4S_NCDBt5pXLE2xmcdtSJP6bmESk,7529
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+ skfolio/moments/__init__.py,sha256=zwxaRO4TLoPj8qrcYSofNyd3tYhbLLcZWQaErzfDdNg,794
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+ skfolio/moments/covariance/__init__.py,sha256=maWkl5Uh0RMgfaxQ0yO-c5zhJg51vm1zrtxZrk_p0pg,1068
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+ skfolio/moments/covariance/_base.py,sha256=98o4YDFcOZ4X4hRFlrJAwWifULGzisEyRZaxFYW1qeA,3970
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+ skfolio/moments/covariance/_denoise_covariance.py,sha256=8NW76w8Sdok1OqcqdjM6KtzpzWYp6cnOeaTlma-i7OA,6943
28
+ skfolio/moments/covariance/_detone_covariance.py,sha256=XmIk0ZpkWwO2nu_gH9zK2s09qoNGHHyJwy0F0JZ9250,6050
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+ skfolio/moments/covariance/_empirical_covariance.py,sha256=_7T1x4p-vdATQvQzQjQBMJhXw7Xvq1qmDvgsaRGyQvA,3501
30
+ skfolio/moments/covariance/_ew_covariance.py,sha256=jzLE4zSEfLCToNBTIG5CMy1n9EYWo1IHJPifcyLVe1g,3673
31
+ skfolio/moments/covariance/_gerber_covariance.py,sha256=3wSwZtji2cEr2rzZ6pi2knmuOSzTFpyb_4XJl_S3Yj0,5856
32
+ skfolio/moments/covariance/_graphical_lasso_cv.py,sha256=_6WQ1sjYJRG8XDq8zb5YIPtDhpb8CmLhLBlfewBvqjM,6539
33
+ skfolio/moments/covariance/_implied_covariance.py,sha256=6DiPWo7WVRA8EFvjYxBLBIrYaeRJWpr8yH5I64Sbbd0,17732
34
+ skfolio/moments/covariance/_ledoit_wolf.py,sha256=iV92TpAopOAgQwa4zk7NF1rYdXkgm3uXn5ZZpbcMss0,4875
35
+ skfolio/moments/covariance/_oas.py,sha256=ru8BNz7vQU75ARCuUbtJstmR2fy2fiD9OXLDlztUm5g,3684
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+ skfolio/moments/covariance/_shrunk_covariance.py,sha256=OOUahkiSdU3vFOb8i0iHtn8WU0AHl7o9pf8pFkG6Lv4,3095
37
+ skfolio/moments/expected_returns/__init__.py,sha256=8UxgcLNGoVy-xty8S2z2kre7IE_P1cmE9tGAE08jZfE,504
38
+ skfolio/moments/expected_returns/_base.py,sha256=xk9mzi48uCOHaMTGQBMr3FU7Ai_shxYhmGeOsVwjv9Q,871
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+ skfolio/moments/expected_returns/_empirical_mu.py,sha256=tD7v_LV6WWjox967X22i6xzhKqnipmday_wS4RhywhA,1820
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+ skfolio/moments/expected_returns/_equilibrium_mu.py,sha256=npVmeksqdoKwYtt-QF0_58764VNzS4ruuUj9Fr343YI,4364
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+ skfolio/moments/expected_returns/_ew_mu.py,sha256=8xVq1dnNK_Ed9b4CUT-rI2V4b5qe-oxzQ5cL0reTlBw,2066
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+ skfolio/moments/expected_returns/_shrunk_mu.py,sha256=IJ7nj0xvNdUG2f6QaXg3grztDnu0l2nSRnTDTZgNQok,8232
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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=J3pPd9XkrAcWaKPSW5vMdtaFpDshBvOdUudbDGQSoNI,16366
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+ skfolio/optimization/cluster/hierarchical/__init__.py,sha256=YnfcPHvjwB6kcG4hoQqc0NqIJKaG7OjBtmXNbOxCq08,405
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+ skfolio/optimization/cluster/hierarchical/_base.py,sha256=ioOBsHA-kRFV_Bvl0-PcqLOytjwy6JhAX1UV454Hfss,18079
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+ skfolio/optimization/cluster/hierarchical/_herc.py,sha256=gFmliW8YJZbbIjHwZ5IqTmTBIt9voLUGCZKdy8RoTvw,17956
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+ skfolio/optimization/cluster/hierarchical/_hrp.py,sha256=nB3W5Zm1TaKTLyRMqN6irAbXD-y-bL2b78d7VFYASa8,16511
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+ skfolio/optimization/convex/__init__.py,sha256=F6BPFikTo0B-7JCKazqLGEwM3RkgTNbFm5GAGkaq9Uo,570
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+ skfolio/optimization/convex/_base.py,sha256=-lUwlV5wv4BayzOhB1g4smaJTm4VQ1ZTiaI0JAr_LWo,75806
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+ skfolio/optimization/convex/_distributionally_robust.py,sha256=INm3kyuKSwdSbgVlqJuKM4P1KQ0ImQulqoO4gfh-a4Q,17823
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+ skfolio/optimization/convex/_maximum_diversification.py,sha256=xucjuxiJf46vNwSZ7ICWmoscDvLn3Ts0xngszXfFXC0,19512
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+ skfolio/optimization/convex/_mean_risk.py,sha256=IBtZovEh0FBYBL5gh0KMsBmyOsSbKTAgMK0y3Yem9p4,44188
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+ skfolio/optimization/convex/_risk_budgeting.py,sha256=vOPxluh7yEEX1P4wLD6S2eT6HLyBWLeFmUqAaK_SLSU,23790
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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=ZoICUnc_MwoXDQAR2kewCg-KIezSOIUdDV1fuf7vMyA,14168
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+ skfolio/optimization/naive/__init__.py,sha256=Dkr55R48urC-jfYN007NTbei16N91Na_EDYLVqzhGgQ,147
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+ skfolio/optimization/naive/_naive.py,sha256=AhEyYKEUAm-Fjn4p8SHwhp7yE9iF0tRyDZIjKYV4EeU,6390
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+ skfolio/population/__init__.py,sha256=rsPPMUv95aTK7vmpPeQwF8NzFuBwk6RDo5g4HNaPzNM,80
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+ skfolio/population/_population.py,sha256=MNIqIkBQs-ourGYFbV-PgC0vn9qJNqYCINN3ZogWqMM,29222
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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=u9GLCKJl-Txiem5rIO-qkH3VIyem3taD6T9kMzsYPRY,1941
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+ skfolio/prior/_black_litterman.py,sha256=7ikhjV_pc61J_0zyDiW63MNFHIEdMP3rJhmsSq5mM_k,10220
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+ skfolio/prior/_empirical.py,sha256=K3htSj_MGX6wNL-XxkTqFxz8WeqNzek6X4YYwKUmMC4,7207
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+ skfolio/prior/_factor_model.py,sha256=xMWyOaJNrCM6NyDQK_-G4wCfREaThI4QvhxxGhsodII,11311
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+ skfolio/uncertainty_set/__init__.py,sha256=LlMHtYv9G9fgtM7m4sCSToS9et57Pm2Q2gGchTVrj6c,617
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+ skfolio/uncertainty_set/_base.py,sha256=Wk8nr-FwurfX13lJR5x2LMxWTHAO6B61A-G5yHEevDw,4243
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+ skfolio/uncertainty_set/_bootstrap.py,sha256=BRD8LhGKULkqqCBjLqU1EtCAMBkLJKEXJygQT6WsaAY,11249
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+ skfolio/uncertainty_set/_empirical.py,sha256=ACqMVTBKibJm6E3IP4TOi3MYsxKMhiEoix5D_fp9X-w,9364
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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=wuOmSt5panMMTw_pFYizLbmrclsE_4PHQfamkzJ5J2s,13937
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+ skfolio/utils/tools.py,sha256=ADMk7sXiiM97JqGuhzDqv0V33DIDk2dwX7X9337dYmo,20572
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+ skfolio-0.3.1.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
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+ skfolio-0.3.1.dist-info/METADATA,sha256=Ydlm1DNyhoJOeimNLgJ8txU48mloWILIK223vqhB4A4,19617
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+ skfolio-0.3.1.dist-info/WHEEL,sha256=y4mX-SOX4fYIkonsAGA5N0Oy-8_gI4FXw5HNI1xqvWg,91
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+ skfolio-0.3.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
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+ skfolio-0.3.1.dist-info/RECORD,,
{skfolio-0.2.3.dist-info → skfolio-0.3.1.dist-info}/WHEEL RENAMED
@@ -1,5 +1,5 @@
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  Wheel-Version: 1.0
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- Generator: setuptools (70.1.0)
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+ Generator: setuptools (70.2.0)
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  Root-Is-Purelib: true
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  Tag: py3-none-any
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