skfolio 0.5.0__py3-none-any.whl → 0.5.1__py3-none-any.whl

skfolio/moments/covariance/_implied_covariance.py

@@ -259,7 +259,7 @@ class ImpliedCovariance(BaseCovariance):
         if assets_names is not None:
             vol_assets_names = get_feature_names(implied_vol)
             if vol_assets_names is not None:
-                missing_assets = assets_names[~np.in1d(assets_names, vol_assets_names)]
+                missing_assets = assets_names[~np.isin(assets_names, vol_assets_names)]
                 if len(missing_assets) > 0:
                     raise ValueError(
                         f"The following assets are missing from "

skfolio/optimization/convex/_base.py

@@ -622,7 +622,11 @@ class ConvexOptimization(BaseOptimization, ABC):
         self._cvx_cache = {}
 
     def _get_weight_constraints(
-        self, n_assets: int, w: cp.Variable, factor: skt.Factor
+        self,
+        n_assets: int,
+        w: cp.Variable,
+        factor: skt.Factor,
+        allow_negative_weights: bool = True,
     ) -> list[cpc.Constraint]:
         """Compute weight constraints from input parameters.
 
@@ -651,6 +655,13 @@ class ConvexOptimization(BaseOptimization, ABC):
                 fill_value=0,
                 name="min_weights",
             )
+
+            if not allow_negative_weights and np.any(min_weights < 0):
+                raise ValueError(
+                    f"{self.__class__.__name__} must have non negative `min_weights` "
+                    f"constraint otherwise the problem becomes non-convex."
+                )
+
             constraints.append(
                 w * self._scale_constraints
                 >= min_weights * factor * self._scale_constraints

skfolio/optimization/convex/_risk_budgeting.py

@@ -432,15 +432,6 @@ class RiskBudgeting(ConvexOptimization):
         self.min_return = min_return
         self.risk_budget = risk_budget
 
-    def _validation(self) -> None:
-        if not isinstance(self.risk_measure, RiskMeasure):
-            raise TypeError("risk_measure must be of type `RiskMeasure`")
-        if self.min_weights < 0:
-            raise ValueError(
-                "Risk Budgeting must have non negative `min_weights` constraint"
-                " otherwise the problem becomes non-convex."
-            )
-
     def fit(self, X: npt.ArrayLike, y=None, **fit_params) -> "RiskBudgeting":
         """Fit the Risk Budgeting Optimization estimator.
 
@@ -462,8 +453,10 @@ class RiskBudgeting(ConvexOptimization):
         routed_params = skm.process_routing(self, "fit", **fit_params)
 
         self._check_feature_names(X, reset=True)
-        # Validate
-        self._validation()
+
+        if not isinstance(self.risk_measure, RiskMeasure):
+            raise TypeError("risk_measure must be of type `RiskMeasure`")
+
         # Used to avoid adding multiple times similar constrains linked to identical
         # risk models
         self.prior_estimator_ = check_estimator(
@@ -518,7 +511,7 @@ class RiskBudgeting(ConvexOptimization):
 
         # weight constraints
         constraints += self._get_weight_constraints(
-            n_assets=n_assets, w=w, factor=factor
+            n_assets=n_assets, w=w, factor=factor, allow_negative_weights=False
         )
 
         parameters_values = []

skfolio/utils/stats.py

@@ -185,7 +185,7 @@ def is_cholesky_dec(x: np.ndarray) -> bool:
     try:
         np.linalg.cholesky(x)
         return True
-    except np.linalg.linalg.LinAlgError:
+    except np.linalg.LinAlgError:
         return False
 
 
@@ -200,7 +200,7 @@ def is_positive_definite(x: np.ndarray) -> bool:
     Returns
     -------
     value : bool
-        True if if the matrix is positive definite, False otherwise.
+        True if the matrix is positive definite, False otherwise.
     """
     return np.all(np.linalg.eigvals(x) > 0)
 

{skfolio-0.5.0.dist-info → skfolio-0.5.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.5.0
+Version: 0.5.1
 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>

{skfolio-0.5.0.dist-info → skfolio-0.5.1.dist-info}/RECORD

@@ -30,7 +30,7 @@ skfolio/moments/covariance/_empirical_covariance.py,sha256=_7T1x4p-vdATQvQzQjQBM
 skfolio/moments/covariance/_ew_covariance.py,sha256=jzLE4zSEfLCToNBTIG5CMy1n9EYWo1IHJPifcyLVe1g,3673
 skfolio/moments/covariance/_gerber_covariance.py,sha256=3wSwZtji2cEr2rzZ6pi2knmuOSzTFpyb_4XJl_S3Yj0,5856
 skfolio/moments/covariance/_graphical_lasso_cv.py,sha256=_6WQ1sjYJRG8XDq8zb5YIPtDhpb8CmLhLBlfewBvqjM,6539
-skfolio/moments/covariance/_implied_covariance.py,sha256=6DiPWo7WVRA8EFvjYxBLBIrYaeRJWpr8yH5I64Sbbd0,17732
+skfolio/moments/covariance/_implied_covariance.py,sha256=L8odXiyNTfrnyroZUZSr8KkHv9_c3OCpdoqrtLqkonQ,17732
 skfolio/moments/covariance/_ledoit_wolf.py,sha256=iV92TpAopOAgQwa4zk7NF1rYdXkgm3uXn5ZZpbcMss0,4875
 skfolio/moments/covariance/_oas.py,sha256=ru8BNz7vQU75ARCuUbtJstmR2fy2fiD9OXLDlztUm5g,3684
 skfolio/moments/covariance/_shrunk_covariance.py,sha256=OOUahkiSdU3vFOb8i0iHtn8WU0AHl7o9pf8pFkG6Lv4,3095
@@ -49,11 +49,11 @@ skfolio/optimization/cluster/hierarchical/_base.py,sha256=l8rJHCH_79FOPdDL2I0dmA
 skfolio/optimization/cluster/hierarchical/_herc.py,sha256=LPtUrvyW9G60OZhMWlZH_GHZHdX8mJHksrYGB-WPRVg,20358
 skfolio/optimization/cluster/hierarchical/_hrp.py,sha256=dn6EKiTJ1wkoFhPdst6vlXnSQvXSYsMtB2zaGNVPpyA,18115
 skfolio/optimization/convex/__init__.py,sha256=F6BPFikTo0B-7JCKazqLGEwM3RkgTNbFm5GAGkaq9Uo,570
-skfolio/optimization/convex/_base.py,sha256=2at6Ll4qHkN_1wvYjl-yXWTbiRJj8fhNS-bfAT88YSw,76055
+skfolio/optimization/convex/_base.py,sha256=P1rSw1oJAZR_BuOxJeXJrYHlkFD0AwCOaBl3mj54E8U,76413
 skfolio/optimization/convex/_distributionally_robust.py,sha256=tw_UNSDfAXP02khE10hpmcdlz3DQXQD7ttDqFDSHV1E,17811
 skfolio/optimization/convex/_maximum_diversification.py,sha256=IVKVbK7bh4KPkhpNWLLerl-qx9Qcmf2cIIRotP8r8nI,19500
 skfolio/optimization/convex/_mean_risk.py,sha256=H4Ik6vvIETdAZnNCA4Jhk_OTirHJg26KQZ5iLsXgaHo,44176
-skfolio/optimization/convex/_risk_budgeting.py,sha256=ntPK57Ws-_U4QAiZjXFvKUYUELv9EBoJIWqofxx-0rY,23779
+skfolio/optimization/convex/_risk_budgeting.py,sha256=VXm6vUeB-BDEn6KhWxg1-9UmjqpFR1E04SM4NLcNuBY,23510
 skfolio/optimization/ensemble/__init__.py,sha256=8TXxcxH2_gG3C1xtgQj9OHHr0Le8lhdejtlURL6T3ZY,158
 skfolio/optimization/ensemble/_base.py,sha256=GaNDQu6ivosYuwMrb-b0PhToCsNrmhSYyXkxeM8W4rU,3399
 skfolio/optimization/ensemble/_stacking.py,sha256=ZoICUnc_MwoXDQAR2kewCg-KIezSOIUdDV1fuf7vMyA,14168
@@ -86,10 +86,10 @@ skfolio/utils/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 skfolio/utils/bootstrap.py,sha256=3zY2kO_GQURKEcQMCasJOSByde9Mt2IAi3KJH0_a4mk,3550
 skfolio/utils/equations.py,sha256=MQ1w3VSM2n_j9bTIKAQA716aWKYyUqtw5yM2bU-9t-M,13745
 skfolio/utils/sorting.py,sha256=lSjMvH2L-sSj-06B3MlwBrH1rtjCeGEe4hG894W7TE0,3504
-skfolio/utils/stats.py,sha256=bzKlF2U7BN2WonwtuwG_cL_16Z3cTAxCAw5pZgbib54,17005
+skfolio/utils/stats.py,sha256=mWMpJ_XBy400kx7GlwBvR4Fwo8ValOZ9J3VDLODDaHQ,16995
 skfolio/utils/tools.py,sha256=4KrmBR9jOLiI6j0hb27gsPC--OHXo4Sp1xl-6i-k9Tg,20925
-skfolio-0.5.0.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
-skfolio-0.5.0.dist-info/METADATA,sha256=yHEHbXE0miG8QngS1WprxyB9QrKnml44TPGScw8SqqM,19611
-skfolio-0.5.0.dist-info/WHEEL,sha256=P9jw-gEje8ByB7_hXoICnHtVCrEwMQh-630tKvQWehc,91
-skfolio-0.5.0.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
-skfolio-0.5.0.dist-info/RECORD,,
+skfolio-0.5.1.dist-info/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
+skfolio-0.5.1.dist-info/METADATA,sha256=ZV5d0XFTqEJzVJZsLvX2OopVxQu-_UCoM1R9wYWQlWE,19611
+skfolio-0.5.1.dist-info/WHEEL,sha256=P9jw-gEje8ByB7_hXoICnHtVCrEwMQh-630tKvQWehc,91
+skfolio-0.5.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
+skfolio-0.5.1.dist-info/RECORD,,