skfolio 0.4.2__tar.gz → 0.5.0__tar.gz

{skfolio-0.4.2/src/skfolio.egg-info → skfolio-0.5.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.4.2
+Version: 0.5.0
 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>
@@ -600,7 +600,7 @@ K-fold Cross-Validation
     # mmp is the predicted MultiPeriodPortfolio object composed of 5 Portfolios (1 per testing fold)
 
     mmp.plot_cumulative_returns()
-    print(mmp.summary()
+    print(mmp.summary())
 
 
 Combinatorial Purged Cross-Validation

{skfolio-0.4.2 → skfolio-0.5.0}/README.rst

@@ -515,7 +515,7 @@ K-fold Cross-Validation
     # mmp is the predicted MultiPeriodPortfolio object composed of 5 Portfolios (1 per testing fold)
 
     mmp.plot_cumulative_returns()
-    print(mmp.summary()
+    print(mmp.summary())
 
 
 Combinatorial Purged Cross-Validation

{skfolio-0.4.2 → skfolio-0.5.0}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "skfolio"
-version = "0.4.2"
+version = "0.5.0"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
 ]

{skfolio-0.4.2 → skfolio-0.5.0}/src/skfolio/optimization/cluster/hierarchical/_base.py

@@ -52,8 +52,6 @@ class BaseHierarchicalOptimization(BaseOptimization, ABC):
             * ENTROPIC_RISK_MEASURE
             * FOURTH_CENTRAL_MOMENT
             * FOURTH_LOWER_PARTIAL_MOMENT
-            * SKEW
-            * KURTOSIS
 
         The default is `RiskMeasure.VARIANCE`.
 
@@ -80,12 +78,12 @@ class BaseHierarchicalOptimization(BaseOptimization, ABC):
 
     min_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=0.0
         Minimum assets weights (weights lower bounds). Negative weights are not allowed.
-        If a float is provided, it is applied to each asset. `None` is equivalent to
-        `-np.Inf` (no lower bound). If a dictionary is provided, its (key/value) pair
-        must be the (asset name/asset minium weight) and the input `X` of the `fit`
-        methods must be a DataFrame with the assets names in columns. When using a
-        dictionary, assets values that are not provided are assigned a minimum weight
-        of `0.0`. The default is 0.0 (no short selling).
+        If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset minium weight) and the input `X` of the `fit` methods must be
+        a DataFrame with the assets names in columns.
+        When using a dictionary, assets values that are not provided are assigned a
+        minimum weight of `0.0`. The default is 0.0 (no short selling).
 
         Example:
 
@@ -96,12 +94,12 @@ class BaseHierarchicalOptimization(BaseOptimization, ABC):
 
     max_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=1.0
         Maximum assets weights (weights upper bounds). Weights above 1.0 are not
-        allowed. If a float is provided, it is applied to each asset. `None` is
-        equivalent to `+np.Inf` (no upper bound). If a dictionary is provided, its
-        (key/value) pair must be the (asset name/asset maximum weight) and the input `X`
-        of the `fit` method must be a DataFrame with the assets names in columns. When
-        using a dictionary, assets values that are not provided are assigned a minimum
-        weight of `1.0`. The default is 1.0 (each asset is below 100%).
+        allowed. If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset maximum weight) and the input `X` of the `fit` method must be
+        a DataFrame with the assets names in columns.
+        When using a dictionary, assets values that are not provided are assigned a
+        minimum weight of `1.0`. The default is 1.0 (each asset is below 100%).
 
         Example:
 
@@ -388,57 +386,6 @@ class BaseHierarchicalOptimization(BaseOptimization, ABC):
 
         return min_weights, max_weights
 
-    @staticmethod
-    def _apply_weight_constraints_to_alpha(
-        alpha: float,
-        max_weights: np.ndarray,
-        min_weights: np.ndarray,
-        weights: np.ndarray,
-        left_cluster: np.ndarray,
-        right_cluster: np.ndarray,
-    ) -> float:
-        """Apply weight constraints to the alpha multiplication factor of the
-        Hierarchical Tree Clustering algorithm.
-
-        Parameters
-        ----------
-        alpha : float
-            The alpha multiplication factor of the Hierarchical Tree Clustering
-            algorithm.
-
-         min_weights : ndarray of shape (n_assets,)
-            The weight lower bound 1D array.
-
-        max_weights : ndarray of shape (n_assets,)
-            The weight upper bound 1D array.
-
-        weights : np.ndarray of shape (n_assets,)
-            The assets weights.
-
-        left_cluster : ndarray of shape (n_left_cluster,)
-            Indices of the left cluster weights.
-
-        right_cluster : ndarray of shape (n_right_cluster,)
-            Indices of the right cluster weights.
-
-        Returns
-        -------
-        value : float
-            The transformed alpha incorporating the weight constraints.
-        """
-        alpha = min(
-            np.sum(max_weights[left_cluster]) / weights[left_cluster[0]],
-            max(np.sum(min_weights[left_cluster]) / weights[left_cluster[0]], alpha),
-        )
-        alpha = 1 - min(
-            np.sum(max_weights[right_cluster]) / weights[right_cluster[0]],
-            max(
-                np.sum(min_weights[right_cluster]) / weights[right_cluster[0]],
-                1 - alpha,
-            ),
-        )
-        return alpha
-
     def get_metadata_routing(self):
         # noinspection PyTypeChecker
         router = (

{skfolio-0.4.2 → skfolio-0.5.0}/src/skfolio/optimization/cluster/hierarchical/_herc.py

@@ -3,8 +3,7 @@
 # Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
 # License: BSD 3 clause
-# The risk measure generalization and constraint features are derived
-# from Riskfolio-Lib, Copyright (c) 2020-2023, Dany Cajas, Licensed under BSD 3 clause.
+# Weight constraints is a novel implementation, see docstring for more details.
 
 import numpy as np
 import numpy.typing as npt
@@ -20,6 +19,7 @@ from skfolio.optimization.cluster.hierarchical._base import (
     BaseHierarchicalOptimization,
 )
 from skfolio.prior import BasePrior, EmpiricalPrior
+from skfolio.utils.stats import minimize_relative_weight_deviation
 from skfolio.utils.tools import check_estimator
 
 
@@ -45,6 +45,32 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
         which is more stable and has better properties than the single-linkage
         method [4]_.
 
+        Also, the initial paper does not provide an algorithm for handling weight
+        constraints, and no standard solution currently exists.
+        In contrast to HRP (Hierarchical Risk Parity), where weight constraints
+        can be applied to the split factor at each bisection step, HERC
+        (Hierarchical Equal Risk Contribution) cannot incorporate weight constraints
+        during the intermediate steps of the allocation. Therefore, in HERC, the
+        weight constraints must be enforced after the top-down allocation has been
+        completed.
+        In skfolio, we minimize the relative deviation of the final weights from
+        the initial weights. This is formulated as a convex optimization problem:
+
+        .. math::
+            \begin{cases}
+            \begin{aligned}
+            &\min_{w} & & \Vert \frac{w - w_{init}}{w_{init}} \Vert_{2}^{2} \\
+            &\text{s.t.} & & \sum_{i=1}^{N} w_{i} = 1 \\
+            & & & w_{min} \leq w_i \leq w_{max}, \quad \forall i
+            \end{aligned}
+            \end{cases}
+
+        The reason for minimizing the relative deviation (as opposed to the absolute
+        deviation) is that we want to limit the impact on the risk contribution of
+        each asset. Since HERC allocates inversely to risk, adjusting the weights
+        based on relative deviation ensures that the assets' risk contributions
+        remain proportionally consistent with the initial allocation.
+
     Parameters
     ----------
     risk_measure : RiskMeasure or ExtraRiskMeasure, default=RiskMeasure.VARIANCE
@@ -70,8 +96,6 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
             * ENTROPIC_RISK_MEASURE
             * FOURTH_CENTRAL_MOMENT
             * FOURTH_LOWER_PARTIAL_MOMENT
-            * SKEW
-            * KURTOSIS
 
         The default is `RiskMeasure.VARIANCE`.
 
@@ -98,12 +122,12 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
 
     min_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=0.0
         Minimum assets weights (weights lower bounds). Negative weights are not allowed.
-        If a float is provided, it is applied to each asset. `None` is equivalent to
-        `-np.Inf` (no lower bound). If a dictionary is provided, its (key/value) pair
-        must be the (asset name/asset minium weight) and the input `X` of the `fit`
-        methods must be a DataFrame with the assets names in columns. When using a
-        dictionary, assets values that are not provided are assigned a minimum weight
-        of `0.0`. The default is 0.0 (no short selling).
+        If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset minium weight) and the input `X` of the `fit` methods must be
+        a DataFrame with the assets names in columns.
+        When using a dictionary, assets values that are not provided are assigned a
+        minimum weight of `0.0`. The default is 0.0 (no short selling).
 
         Example:
 
@@ -114,12 +138,12 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
 
     max_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=1.0
         Maximum assets weights (weights upper bounds). Weights above 1.0 are not
-        allowed. If a float is provided, it is applied to each asset. `None` is
-        equivalent to `+np.Inf` (no upper bound). If a dictionary is provided, its
-        (key/value) pair must be the (asset name/asset maximum weight) and the input `X`
-        of the `fit` method must be a DataFrame with the assets names in columns. When
-        using a dictionary, assets values that are not provided are assigned a minimum
-        weight of `1.0`. The default is 1.0 (each asset is below 100%).
+        allowed. If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset maximum weight) and the input `X` of the `fit` method must be
+        a DataFrame with the assets names in columns.
+        When using a dictionary, assets values that are not provided are assigned a
+        minimum weight of `1.0`. The default is 1.0 (each asset is below 100%).
 
         Example:
 
@@ -208,6 +232,19 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
         `management_fees`, `previous_weights` and `risk_free_rate` are copied from the
         optimization model and passed to the portfolio.
 
+    solver : str, default="CLARABEL"
+        The solver used for the weights constraints optimization. The default is
+        "CLARABEL" which is written in Rust and has better numerical stability and
+        performance than ECOS and SCS.
+        For more details about available solvers, check the CVXPY documentation:
+        https://www.cvxpy.org/tutorial/advanced/index.html#choosing-a-solver
+
+    solver_params : dict, optional
+        Solver parameters. For example, `solver_params=dict(verbose=True)`.
+        The default (`None`) is to use the CVXPY default.
+        For more details about solver arguments, check the CVXPY documentation:
+        https://www.cvxpy.org/tutorial/advanced/index.html#setting-solver-options
+
     Attributes
     ----------
     weights_ : ndarray of shape (n_assets,)
@@ -251,6 +288,8 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
         hierarchical_clustering_estimator: HierarchicalClustering | None = None,
         min_weights: skt.MultiInput | None = 0.0,
         max_weights: skt.MultiInput | None = 1.0,
+        solver: str = "CLARABEL",
+        solver_params: dict | None = None,
         transaction_costs: skt.MultiInput = 0.0,
         management_fees: skt.MultiInput = 0.0,
         previous_weights: skt.MultiInput | None = None,
@@ -268,6 +307,8 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
             previous_weights=previous_weights,
             portfolio_params=portfolio_params,
         )
+        self.solver = solver
+        self.solver_params = solver_params
 
     def fit(
         self, X: npt.ArrayLike, y: None = None, **fit_params
@@ -301,6 +342,13 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
             raise TypeError(
                 "`risk_measure` must be of type `RiskMeasure` or `ExtraRiskMeasure`"
             )
+
+        if self.risk_measure in [ExtraRiskMeasure.SKEW, ExtraRiskMeasure.KURTOSIS]:
+            # Because Skew and Kurtosis can take negative values
+            raise ValueError(
+                f"risk_measure {self.risk_measure} currently not supported" f"in HERC"
+            )
+
         self.prior_estimator_ = check_estimator(
             self.prior_estimator,
             default=EmpiricalPrior(),
@@ -393,21 +441,12 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
 
             left_cluster = np.array(left_cluster)
             right_cluster = np.array(right_cluster)
+
             left_risk = np.sum(cluster_risks[left_cluster])
             right_risk = np.sum(cluster_risks[right_cluster])
 
             alpha = 1 - left_risk / (left_risk + right_risk)
 
-            # Weights constraints
-            alpha = self._apply_weight_constraints_to_alpha(
-                alpha=alpha,
-                weights=weights,
-                max_weights=max_weights,
-                min_weights=min_weights,
-                left_cluster=left_cluster,
-                right_cluster=right_cluster,
-            )
-
             clusters_weights[left_cluster] *= alpha
             clusters_weights[right_cluster] *= 1 - alpha
 
@@ -421,5 +460,15 @@ class HierarchicalEqualRiskContribution(BaseHierarchicalOptimization):
         for i, cluster_ids in enumerate(clusters):
             weights[cluster_ids] *= clusters_weights[i]
 
+        # Apply weights constraints
+        weights = minimize_relative_weight_deviation(
+            weights=weights,
+            min_weights=min_weights,
+            max_weights=max_weights,
+            solver=self.solver,
+            solver_params=self.solver_params,
+        )
+
         self.weights_ = weights
+
         return self

{skfolio-0.4.2 → skfolio-0.5.0}/src/skfolio/optimization/cluster/hierarchical/_hrp.py

@@ -72,8 +72,6 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
             * ENTROPIC_RISK_MEASURE
             * FOURTH_CENTRAL_MOMENT
             * FOURTH_LOWER_PARTIAL_MOMENT
-            * SKEW
-            * KURTOSIS
 
         The default is `RiskMeasure.VARIANCE`.
 
@@ -100,9 +98,9 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
 
     min_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=0.0
         Minimum assets weights (weights lower bounds). Negative weights are not allowed.
-        If a float is provided, it is applied to each asset. `None` is equivalent to
-        `-np.Inf` (no lower bound). If a dictionary is provided, its (key/value) pair
-        must be the (asset name/asset minium weight) and the input `X` of the `fit`
+        If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset minium weight) and the input `X` of the `fit`
         methods must be a DataFrame with the assets names in columns. When using a
         dictionary, assets values that are not provided are assigned a minimum weight
         of `0.0`. The default is 0.0 (no short selling).
@@ -116,12 +114,12 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
 
     max_weights : float | dict[str, float] | array-like of shape (n_assets, ), default=1.0
         Maximum assets weights (weights upper bounds). Weights above 1.0 are not
-        allowed. If a float is provided, it is applied to each asset. `None` is
-        equivalent to `+np.Inf` (no upper bound). If a dictionary is provided, its
-        (key/value) pair must be the (asset name/asset maximum weight) and the input `X`
-        of the `fit` method must be a DataFrame with the assets names in columns. When
-        using a dictionary, assets values that are not provided are assigned a minimum
-        weight of `1.0`. The default is 1.0 (each asset is below 100%).
+        allowed. If a float is provided, it is applied to each asset.
+        If a dictionary is provided, its (key/value) pair must be the
+        (asset name/asset maximum weight) and the input `X` of the `fit` method must
+        be a DataFrame with the assets names in columns.
+        When using a dictionary, assets values that are not provided are assigned a
+        minimum weight of `1.0`. The default is 1.0 (each asset is below 100%).
 
         Example:
 
@@ -296,6 +294,13 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
             raise TypeError(
                 "`risk_measure` must be of type `RiskMeasure` or `ExtraRiskMeasure`"
             )
+
+        if self.risk_measure in [ExtraRiskMeasure.SKEW, ExtraRiskMeasure.KURTOSIS]:
+            # Because Skew and Kurtosis can take negative values
+            raise ValueError(
+                f"risk_measure {self.risk_measure} currently not supported" f"in HRP"
+            )
+
         self.prior_estimator_ = check_estimator(
             self.prior_estimator,
             default=EmpiricalPrior(),
@@ -365,7 +370,7 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
                 left_cluster, right_cluster = clusters_ids
                 alpha = 1 - left_risk / (left_risk + right_risk)
                 # Weights constraints
-                alpha = self._apply_weight_constraints_to_alpha(
+                alpha = _apply_weight_constraints_to_split_factor(
                     alpha=alpha,
                     weights=weights,
                     max_weights=max_weights,
@@ -379,3 +384,54 @@ class HierarchicalRiskParity(BaseHierarchicalOptimization):
 
         self.weights_ = weights
         return self
+
+
+def _apply_weight_constraints_to_split_factor(
+    alpha: float,
+    max_weights: np.ndarray,
+    min_weights: np.ndarray,
+    weights: np.ndarray,
+    left_cluster: np.ndarray,
+    right_cluster: np.ndarray,
+) -> float:
+    """
+    Apply weight constraints to the split factor alpha of the ,Hierarchical Tree
+    Clustering algorithm.
+
+    Parameters
+    ----------
+    alpha : float
+        The split factor alpha of the Hierarchical Tree Clustering algorithm.
+
+    min_weights : ndarray of shape (n_assets,)
+        The weight lower bound 1D array.
+
+    max_weights : ndarray of shape (n_assets,)
+        The weight upper bound 1D array.
+
+    weights : np.ndarray of shape (n_assets,)
+        The assets weights.
+
+    left_cluster : ndarray of shape (n_left_cluster,)
+        Indices of the left cluster weights.
+
+    right_cluster : ndarray of shape (n_right_cluster,)
+        Indices of the right cluster weights.
+
+    Returns
+    -------
+    value : float
+        The transformed split factor alpha incorporating the weight constraints.
+    """
+    alpha = min(
+        np.sum(max_weights[left_cluster]) / weights[left_cluster[0]],
+        max(np.sum(min_weights[left_cluster]) / weights[left_cluster[0]], alpha),
+    )
+    alpha = 1 - min(
+        np.sum(max_weights[right_cluster]) / weights[right_cluster[0]],
+        max(
+            np.sum(min_weights[right_cluster]) / weights[right_cluster[0]],
+            1 - alpha,
+        ),
+    )
+    return alpha

{skfolio-0.4.2 → skfolio-0.5.0}/src/skfolio/population/_population.py

@@ -653,7 +653,7 @@ class Population(list):
         spacing: float | None = None,
         display_sub_ptf_name: bool = True,
     ) -> go.Figure:
-        """Plot the contribution of each asset to a given measure of the portfolios
+        r"""Plot the contribution of each asset to a given measure of the portfolios
         in the population.
 
         Parameters

skfolio-0.5.0/src/skfolio/pre_selection/__init__.py

@@ -0,0 +1,13 @@
+from skfolio.pre_selection._drop_correlated import DropCorrelated
+from skfolio.pre_selection._select_complete import SelectComplete
+from skfolio.pre_selection._select_k_extremes import SelectKExtremes
+from skfolio.pre_selection._select_non_dominated import SelectNonDominated
+from skfolio.pre_selection._select_non_expiring import SelectNonExpiring
+
+__all__ = [
+    "DropCorrelated",
+    "SelectKExtremes",
+    "SelectNonDominated",
+    "SelectComplete",
+    "SelectNonExpiring",
+]

skfolio-0.5.0/src/skfolio/pre_selection/_drop_correlated.py

@@ -0,0 +1,108 @@
+"""Pre-selection DropCorrelated module"""
+
+# Copyright (c) 2023
+# Author: Hugo Delatte <delatte.hugo@gmail.com>
+# License: BSD 3 clause
+
+import numpy as np
+import numpy.typing as npt
+import sklearn.base as skb
+import sklearn.feature_selection as skf
+import sklearn.utils.validation as skv
+
+
+class DropCorrelated(skf.SelectorMixin, skb.BaseEstimator):
+    """Transformer for dropping highly correlated assets.
+
+    Simply removing all correlation pairs above the threshold will remove more assets
+    than necessary and a naive sequential removal is suboptimal and depends on the
+    initial assets ordering.
+
+    Let's suppose X,Y,Z are three random variables with corr(X,Y) and corr(X,Z) above
+    the threshold and corr(Y,Z) below.
+    The first approach would remove X,Y,Z and the second approach would remove either
+    Y and Z or X depending on the initial ordering.
+
+    To avoid these shortcomings, we implement the below algorithm:
+
+        * Step 1: select all correlation pairs above the threshold.
+        * Step 2: sort all the selected correlation pairs from highest to lowest.
+        * Step 3: for each pair, if none of the two assets has been removed, keep the
+          asset with the lowest average correlation against the other assets.
+
+    Parameters
+    ----------
+    threshold : float, default=0.95
+        Correlation threshold. The default value is `0.95`.
+
+    absolute : bool, default=False
+        If this is set to True, we take the absolute value of the correlation. This has
+        for effect to also include negatively correlated assets.
+
+    Attributes
+    ----------
+    to_keep_ : ndarray of shape (n_assets, )
+        Boolean array indicating which assets are remaining.
+
+    n_features_in_ : int
+        Number of assets seen during `fit`.
+
+    feature_names_in_ : ndarray of shape (`n_features_in_`,)
+        Names of assets seen during `fit`. Defined only when `X`
+        has assets names that are all strings.
+    """
+
+    to_keep_: np.ndarray
+
+    def __init__(self, threshold: float = 0.95, absolute: bool = False):
+        self.threshold = threshold
+        self.absolute = absolute
+
+    def fit(self, X: npt.ArrayLike, y=None):
+        """Run the correlation transformer and get the appropriate assets.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, n_assets)
+            Price returns of the assets.
+
+        y : Ignored
+            Not used, present for API consistency by convention.
+
+        Returns
+        -------
+        self : DropCorrelated
+            Fitted estimator.
+        """
+        X = self._validate_data(X)
+        if not -1 <= self.threshold <= 1:
+            raise ValueError("`threshold` must be between -1 and 1")
+
+        n_assets = X.shape[1]
+        corr = np.corrcoef(X.T)
+        mean_corr = corr.mean(axis=0)
+
+        triu_idx = np.triu_indices(n_assets, 1)
+
+        # select all correlation pairs above the threshold
+        selected_idx = np.argwhere(corr[triu_idx] > self.threshold).flatten()
+
+        # sort all the selected correlation pairs from highest to lowest
+        selected_idx = selected_idx[np.argsort(-corr[triu_idx][selected_idx])]
+
+        # for each pair, if none of the two assets has been removed, keep the asset with
+        # the lowest average correlation with other assets
+        to_remove = set()
+        for idx in selected_idx:
+            i, j = triu_idx[0][idx], triu_idx[1][idx]
+            if i not in to_remove and j not in to_remove:
+                if mean_corr[i] > mean_corr[j]:
+                    to_remove.add(i)
+                else:
+                    to_remove.add(j)
+        self.to_keep_ = ~np.isin(np.arange(n_assets), list(to_remove))
+        return self
+
+    def _get_support_mask(self):
+        skv.check_is_fitted(self)
+        return self.to_keep_