skfolio 0.5.2__py3-none-any.whl → 0.7.0__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 (62) hide show
  1. skfolio/__init__.py +5 -5
  2. skfolio/cluster/__init__.py +1 -1
  3. skfolio/cluster/_hierarchical.py +1 -1
  4. skfolio/datasets/__init__.py +2 -2
  5. skfolio/distance/__init__.py +3 -3
  6. skfolio/distance/_distance.py +7 -6
  7. skfolio/exceptions.py +2 -2
  8. skfolio/measures/__init__.py +23 -23
  9. skfolio/model_selection/__init__.py +2 -2
  10. skfolio/moments/__init__.py +11 -11
  11. skfolio/moments/covariance/__init__.py +6 -6
  12. skfolio/moments/covariance/_denoise_covariance.py +2 -1
  13. skfolio/moments/covariance/_detone_covariance.py +2 -1
  14. skfolio/moments/covariance/_empirical_covariance.py +2 -1
  15. skfolio/moments/covariance/_ew_covariance.py +2 -1
  16. skfolio/moments/covariance/_gerber_covariance.py +2 -1
  17. skfolio/moments/covariance/_implied_covariance.py +1 -1
  18. skfolio/moments/expected_returns/__init__.py +2 -2
  19. skfolio/moments/expected_returns/_empirical_mu.py +2 -1
  20. skfolio/moments/expected_returns/_equilibrium_mu.py +2 -1
  21. skfolio/moments/expected_returns/_ew_mu.py +2 -1
  22. skfolio/moments/expected_returns/_shrunk_mu.py +2 -1
  23. skfolio/optimization/__init__.py +10 -10
  24. skfolio/optimization/cluster/__init__.py +1 -1
  25. skfolio/optimization/cluster/_nco.py +3 -2
  26. skfolio/optimization/cluster/hierarchical/__init__.py +1 -1
  27. skfolio/optimization/cluster/hierarchical/_herc.py +2 -1
  28. skfolio/optimization/cluster/hierarchical/_hrp.py +2 -1
  29. skfolio/optimization/convex/__init__.py +3 -3
  30. skfolio/optimization/convex/_base.py +344 -31
  31. skfolio/optimization/convex/_distributionally_robust.py +4 -1
  32. skfolio/optimization/convex/_maximum_diversification.py +4 -2
  33. skfolio/optimization/convex/_mean_risk.py +125 -17
  34. skfolio/optimization/convex/_risk_budgeting.py +3 -1
  35. skfolio/optimization/ensemble/_stacking.py +2 -2
  36. skfolio/optimization/naive/__init__.py +1 -1
  37. skfolio/optimization/naive/_naive.py +3 -2
  38. skfolio/portfolio/__init__.py +1 -1
  39. skfolio/portfolio/_base.py +1 -0
  40. skfolio/portfolio/_portfolio.py +1 -0
  41. skfolio/pre_selection/__init__.py +1 -1
  42. skfolio/pre_selection/_drop_correlated.py +1 -1
  43. skfolio/pre_selection/_select_complete.py +6 -4
  44. skfolio/pre_selection/_select_k_extremes.py +1 -1
  45. skfolio/pre_selection/_select_non_dominated.py +1 -1
  46. skfolio/pre_selection/_select_non_expiring.py +6 -4
  47. skfolio/prior/__init__.py +3 -3
  48. skfolio/prior/_black_litterman.py +2 -1
  49. skfolio/prior/_empirical.py +2 -1
  50. skfolio/prior/_factor_model.py +2 -1
  51. skfolio/typing.py +6 -6
  52. skfolio/uncertainty_set/__init__.py +5 -5
  53. skfolio/uncertainty_set/_base.py +3 -2
  54. skfolio/utils/equations.py +58 -1
  55. skfolio/utils/stats.py +8 -8
  56. skfolio/utils/tools.py +10 -10
  57. {skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/METADATA +32 -29
  58. skfolio-0.7.0.dist-info/RECORD +95 -0
  59. {skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/WHEEL +1 -1
  60. skfolio-0.5.2.dist-info/RECORD +0 -95
  61. {skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/LICENSE +0 -0
  62. {skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/top_level.txt +0 -0
skfolio/utils/stats.py CHANGED
@@ -23,20 +23,20 @@ from skfolio.utils.tools import AutoEnum
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  __all__ = [
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  "NBinsMethod",
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- "n_bins_freedman",
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- "n_bins_knuth",
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- "is_cholesky_dec",
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+ "assert_is_distance",
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  "assert_is_square",
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  "assert_is_symmetric",
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- "assert_is_distance",
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- "cov_nearest",
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- "cov_to_corr",
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- "corr_to_cov",
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  "commutation_matrix",
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  "compute_optimal_n_clusters",
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+ "corr_to_cov",
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+ "cov_nearest",
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+ "cov_to_corr",
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+ "is_cholesky_dec",
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+ "minimize_relative_weight_deviation",
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+ "n_bins_freedman",
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+ "n_bins_knuth",
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  "rand_weights",
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  "rand_weights_dirichlet",
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- "minimize_relative_weight_deviation",
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  ]
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skfolio/utils/tools.py CHANGED
@@ -21,21 +21,21 @@ import sklearn.base as skb
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  __all__ = [
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  "AutoEnum",
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- "cached_property_slots",
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- "cache_method",
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- "input_to_array",
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  "args_names",
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- "format_measure",
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- "optimal_rounding_decimals",
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  "bisection",
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- "safe_split",
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- "fit_single_estimator",
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- "fit_and_predict",
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- "safe_indexing",
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+ "cache_method",
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+ "cached_property_slots",
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+ "check_estimator",
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  "deduplicate_names",
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  "default_asset_names",
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- "check_estimator",
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+ "fit_and_predict",
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+ "fit_single_estimator",
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+ "format_measure",
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  "get_feature_names",
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+ "input_to_array",
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+ "optimal_rounding_decimals",
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+ "safe_indexing",
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+ "safe_split",
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  ]
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  GenericAlias = type(list[int])
{skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/METADATA RENAMED
@@ -1,9 +1,9 @@
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  Metadata-Version: 2.1
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  Name: skfolio
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- Version: 0.5.2
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+ Version: 0.7.0
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  Summary: Portfolio optimization built on top of scikit-learn
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  Author-email: Hugo Delatte <delatte.hugo@gmail.com>
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- Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>
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+ Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>, Matteo Manzi <matteomanzi09@gmail.com>
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  License: BSD 3-Clause License
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  Copyright (c) 2007-2023 The skfolio developers.
@@ -56,34 +56,37 @@ Classifier: Topic :: Software Development
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  Requires-Python: >=3.10
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  Description-Content-Type: text/x-rst
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  License-File: LICENSE
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- Requires-Dist: numpy >=1.23.4
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- Requires-Dist: scipy >=1.8.0
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- Requires-Dist: pandas >=1.4.1
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- Requires-Dist: cvxpy >=1.4.1
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- Requires-Dist: scikit-learn >=1.5.0
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- Requires-Dist: joblib >=1.3.2
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- Requires-Dist: plotly >=5.22.0
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+ Requires-Dist: numpy>=1.23.4
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+ Requires-Dist: scipy>=1.8.0
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+ Requires-Dist: pandas>=1.4.1
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+ Requires-Dist: cvxpy>=1.4.1
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+ Requires-Dist: scikit-learn>=1.6.0
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+ Requires-Dist: joblib>=1.3.2
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+ Requires-Dist: plotly>=5.22.0
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+ Provides-Extra: dev
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+ Requires-Dist: cvxpy[SCIP]<2.0.0,>=1.6.0; extra == "dev"
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+ Requires-Dist: pytest<9.0.0,>=8.3.4; extra == "dev"
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+ Requires-Dist: pytest-cov<7.0.0,>=6.0.0; extra == "dev"
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+ Requires-Dist: ruff<1.0.0,>=0.8.4; extra == "dev"
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+ Requires-Dist: pre-commit<4.2.0,>=4.0.0; extra == "dev"
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  Provides-Extra: docs
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- Requires-Dist: Sphinx ; extra == 'docs'
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- Requires-Dist: sphinx-gallery ; extra == 'docs'
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- Requires-Dist: sphinx-design ; extra == 'docs'
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- Requires-Dist: pydata-sphinx-theme ==0.13.3 ; extra == 'docs'
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- Requires-Dist: matplotlib ; extra == 'docs'
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- Requires-Dist: kaleido ==0.2.1 ; extra == 'docs'
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- Requires-Dist: sphinx-copybutton ; extra == 'docs'
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- Requires-Dist: numpydoc ; extra == 'docs'
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- Requires-Dist: sphinx-togglebutton ; extra == 'docs'
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- Requires-Dist: sphinx-favicon ; extra == 'docs'
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- Requires-Dist: sphinx-prompt ; extra == 'docs'
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- Requires-Dist: sphinxext.opengraph ; extra == 'docs'
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- Requires-Dist: sphinx-sitemap ; extra == 'docs'
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- Requires-Dist: jupyterlite-sphinx ; extra == 'docs'
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- Requires-Dist: jupyterlite-pyodide-kernel ; extra == 'docs'
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- Requires-Dist: nbformat ; extra == 'docs'
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- Provides-Extra: tests
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- Requires-Dist: pytest ; extra == 'tests'
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- Requires-Dist: pytest-cov ; extra == 'tests'
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- Requires-Dist: ruff ; extra == 'tests'
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+ Requires-Dist: cvxpy[SCIP]; extra == "docs"
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+ Requires-Dist: Sphinx; extra == "docs"
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+ Requires-Dist: sphinx-gallery; extra == "docs"
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+ Requires-Dist: sphinx-design; extra == "docs"
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+ Requires-Dist: pydata-sphinx-theme==0.13.3; extra == "docs"
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+ Requires-Dist: matplotlib; extra == "docs"
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+ Requires-Dist: kaleido==0.2.1; extra == "docs"
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+ Requires-Dist: sphinx-copybutton; extra == "docs"
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+ Requires-Dist: numpydoc; extra == "docs"
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+ Requires-Dist: sphinx-togglebutton; extra == "docs"
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+ Requires-Dist: sphinx-favicon; extra == "docs"
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+ Requires-Dist: sphinx-prompt; extra == "docs"
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+ Requires-Dist: sphinxext.opengraph; extra == "docs"
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+ Requires-Dist: sphinx-sitemap; extra == "docs"
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+ Requires-Dist: jupyterlite-sphinx; extra == "docs"
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+ Requires-Dist: jupyterlite-pyodide-kernel; extra == "docs"
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+ Requires-Dist: nbformat; extra == "docs"
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  .. -*- mode: rst -*-
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skfolio-0.7.0.dist-info/RECORD ADDED
@@ -0,0 +1,95 @@
1
+ skfolio/__init__.py,sha256=FbnqIQGdiw2fg-jy2N--TnXGknEahle2zj7y47bxQkY,618
2
+ skfolio/exceptions.py,sha256=poWfE5geF121AR9QqrG781KebGneIZ028161tV0YfS0,784
3
+ skfolio/typing.py,sha256=SqYkUNbeq_go0pJaoIAFE-MNvHtHSGLzhNrhrRxkpfM,1378
4
+ skfolio/cluster/__init__.py,sha256=5yp3qkvBoN0qNDmmPahjPMegc0oQXCJ1FPxwgEqJpiY,251
5
+ skfolio/cluster/_hierarchical.py,sha256=i7ckFpKdxymzrqXZBc0AZj-Qcz65JuUoJQ7pYWfAo7E,12823
6
+ skfolio/datasets/__init__.py,sha256=0tuS8CR26EUBqBFjyxgZ2L5PgZDy3AjK3qh4GV-fB1U,481
7
+ skfolio/datasets/_base.py,sha256=ECeHHlNOb2U5hEE3kaK8yQtegcVYiuGTjMLJ3Dop0Ks,16073
8
+ skfolio/datasets/data/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
9
+ skfolio/datasets/data/factors_dataset.csv.gz,sha256=brCJlT25DJo40yg1gnUXAakNtvWZZYR_1ksFeN5JcWE,36146
10
+ skfolio/datasets/data/sp500_dataset.csv.gz,sha256=7iHKwovvsdCnOanOsiGE-ZU5RyaqDP3pohlB0awErA0,426065
11
+ skfolio/datasets/data/sp500_index.csv.gz,sha256=iUw0QxwoT4aqZKRn4Xbio8m2l8hX65qzUAbC3VXT_fI,41898
12
+ skfolio/distance/__init__.py,sha256=MnNOJOQTdt3e-MH_uXMaaogWzF7Ubymvc8I0Ks7VElU,547
13
+ skfolio/distance/_base.py,sha256=jBgRk6lZrP1woSI9541fTfxBBkp4WCTLlRPmWcmA3j4,1326
14
+ skfolio/distance/_distance.py,sha256=0x77Yf_Tukb2l8J1VmvPT3YWJxVzGQo4u5rNjjo9-1M,19097
15
+ skfolio/measures/__init__.py,sha256=b4hcaWXTzgQjF80ex3G1YJurfjLiii-ggrqJCIXsJTE,1631
16
+ skfolio/measures/_enums.py,sha256=NJcngwg9b2JMMiekwkWU9POfnDvgfUgtYtyV2VSFDVM,8934
17
+ skfolio/measures/_measures.py,sha256=Z7XHSyM9xfecDgOqm-lJQJhvZxasF018-oFS4QjC4g0,16829
18
+ skfolio/metrics/__init__.py,sha256=MomHJ5_bgjq4qUwGS2bfhNmG_ld0oQ4wK6y0Yy_Eonc,75
19
+ skfolio/metrics/_scorer.py,sha256=h1VuZk-zzn4rIChHl9FvM7RxqVT3b-jR1CEB-cr9F2s,4306
20
+ skfolio/model_selection/__init__.py,sha256=Hl90pxVZjxrEFrI8DCGmoR0CBo1rMGw1z-cR2scKyls,507
21
+ skfolio/model_selection/_combinatorial.py,sha256=uf5DzklgyLhfMKm0kWHXl2QLlUOAoiaxNb7cafrHVIg,19062
22
+ skfolio/model_selection/_validation.py,sha256=3eFYzPejjDZljc33vRehDuBQTEKCkrj-mZihMVuGA4s,10034
23
+ skfolio/model_selection/_walk_forward.py,sha256=T57HhdFGjG31mAufujHQuRK1uKfAdkiBx9eucQZ-WG0,15043
24
+ skfolio/moments/__init__.py,sha256=st8AYX3tHT2ZkqnnMNbS6CiwufvHq6Tl6nHtRVhtlq0,794
25
+ skfolio/moments/covariance/__init__.py,sha256=twNNLP44sv4-3EgET27UdJ-8wbVgF2cYmIn8DERwFTk,1068
26
+ skfolio/moments/covariance/_base.py,sha256=98o4YDFcOZ4X4hRFlrJAwWifULGzisEyRZaxFYW1qeA,3970
27
+ skfolio/moments/covariance/_denoise_covariance.py,sha256=kp90Jey_0NMHqZObhadO0FymF1TXBO6J8gvXoDbv9dE,6986
28
+ skfolio/moments/covariance/_detone_covariance.py,sha256=4hh-wvxLdNb61PJkF2_AHb5jDZogZiFRHtUoWuXywWw,6093
29
+ skfolio/moments/covariance/_empirical_covariance.py,sha256=mndfugw9Yp1Kus8rPAYcAIUcDT-6yX7By4gHhxyj6iI,3544
30
+ skfolio/moments/covariance/_ew_covariance.py,sha256=wqvErW0OfvWWSrz1-g_M5EdfA4ludAD3wbn-y3ec-gY,3716
31
+ skfolio/moments/covariance/_gerber_covariance.py,sha256=B_H02D7kWuUGaLUB9E39Kxh4f9mQESsoFJvuvKNJ0Jk,5899
32
+ skfolio/moments/covariance/_graphical_lasso_cv.py,sha256=_6WQ1sjYJRG8XDq8zb5YIPtDhpb8CmLhLBlfewBvqjM,6539
33
+ skfolio/moments/covariance/_implied_covariance.py,sha256=dD-LT7vXYs3-GGgxkQon3xCVLmA8zUuWIaExqY4vtXA,17736
34
+ skfolio/moments/covariance/_ledoit_wolf.py,sha256=iV92TpAopOAgQwa4zk7NF1rYdXkgm3uXn5ZZpbcMss0,4875
35
+ skfolio/moments/covariance/_oas.py,sha256=ru8BNz7vQU75ARCuUbtJstmR2fy2fiD9OXLDlztUm5g,3684
36
+ skfolio/moments/covariance/_shrunk_covariance.py,sha256=OOUahkiSdU3vFOb8i0iHtn8WU0AHl7o9pf8pFkG6Lv4,3095
37
+ skfolio/moments/expected_returns/__init__.py,sha256=Bi3c4bok3SyktdYeFUs3VepTrtpmDITIk9GXPhIuDc0,504
38
+ skfolio/moments/expected_returns/_base.py,sha256=xk9mzi48uCOHaMTGQBMr3FU7Ai_shxYhmGeOsVwjv9Q,871
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+ skfolio/moments/expected_returns/_empirical_mu.py,sha256=Gg1t4pEkVXGzCTXkATc5G1riMmIcMGqvPnIl2vnYF2k,1863
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+ skfolio/moments/expected_returns/_equilibrium_mu.py,sha256=x35nIc4aoLledFmFmKY00d5jesx8xfLU2Udh4JQIkEg,4407
41
+ skfolio/moments/expected_returns/_ew_mu.py,sha256=hMjv9XJYftQ9X7RiEQWwAGZktPPFWc0_FFDEFhqC-fI,2109
42
+ skfolio/moments/expected_returns/_shrunk_mu.py,sha256=UbLM2B3nwa2ndLR5Or1yetnj2dCAzKxqpr34JwXfvmo,8275
43
+ skfolio/optimization/__init__.py,sha256=dx5S-xSsISCXO9s64jjcDSqSsUl6TVAaIICWOc8aHK4,1021
44
+ skfolio/optimization/_base.py,sha256=LoRONJP70AwbFpdgqVS_g145pCx0JGkazjWvkQzT_iM,5748
45
+ skfolio/optimization/cluster/__init__.py,sha256=5Ek5dlLq9TqoLNHJad3EpBb35csuV-ilcoaKnc73lQc,388
46
+ skfolio/optimization/cluster/_nco.py,sha256=UQfWEdYVPU6cd-WBlp9uf44zDzpTrXDIvH82k5GOdh4,16413
47
+ skfolio/optimization/cluster/hierarchical/__init__.py,sha256=hZ6GzND_uGO3_derqt3wkOJ-jTtOs_x8Ifgo173EDxw,405
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+ skfolio/optimization/cluster/hierarchical/_base.py,sha256=l8rJHCH_79FOPdDL2I0dmAWcVWnNkcXHtzt0U-L7BN8,16280
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+ skfolio/optimization/cluster/hierarchical/_herc.py,sha256=fFUk-NEbP7ltjeiYQwzmVvXoVYYjd3JY_RjHoWVq0lw,20401
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+ skfolio/optimization/cluster/hierarchical/_hrp.py,sha256=wUeTIwQxhV5yhqZ4UIr-61rgttTP7fPh91GtMaCNjPc,18158
51
+ skfolio/optimization/convex/__init__.py,sha256=mii3YiVwzAjnTMpJNK44jHevZXrfFxB-4z-3ZJP9nSc,570
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+ skfolio/optimization/convex/_base.py,sha256=9-0aZ_nzU5F6CkxhjK-VTvyGz96xyFVuRG7lWRl_3i4,89430
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+ skfolio/optimization/convex/_distributionally_robust.py,sha256=32jVUn2PG1agwuTSfj9QlP9GyQo_26sJcIwSqv9zy2I,17933
54
+ skfolio/optimization/convex/_maximum_diversification.py,sha256=T3-O4U6irJ7iU9IWzKWr5K4aHC8JxNyF6JW_IckVezM,19631
55
+ skfolio/optimization/convex/_mean_risk.py,sha256=77Dhe9xN6mSwgkXvXen5pySX-uHo3rOhPvpSQOd8l_Q,49509
56
+ skfolio/optimization/convex/_risk_budgeting.py,sha256=Lt13xD41PEMXjxa1yjnaIe7nEZ_bnUqeT3MLiUCfTWI,23631
57
+ skfolio/optimization/ensemble/__init__.py,sha256=8TXxcxH2_gG3C1xtgQj9OHHr0Le8lhdejtlURL6T3ZY,158
58
+ skfolio/optimization/ensemble/_base.py,sha256=GaNDQu6ivosYuwMrb-b0PhToCsNrmhSYyXkxeM8W4rU,3399
59
+ skfolio/optimization/ensemble/_stacking.py,sha256=Y79cHEOBJbtMgkKbgPKfgL6H9qYHi4VDm0JR5ugVwr4,14176
60
+ skfolio/optimization/naive/__init__.py,sha256=LNmqRIkGf4RLaOGLt2ZB7SHnBBraxxn0WbTkDQGCxd0,147
61
+ skfolio/optimization/naive/_naive.py,sha256=tQG6XqQKfWnbixjwtUiGNivGXuTPAYErkJMYl-UPYxQ,6437
62
+ skfolio/population/__init__.py,sha256=rsPPMUv95aTK7vmpPeQwF8NzFuBwk6RDo5g4HNaPzNM,80
63
+ skfolio/population/_population.py,sha256=ej45tdk_CcMlNToCsx2VUk2YRktK3k4cRczGBpjlnDE,30427
64
+ skfolio/portfolio/__init__.py,sha256=YeDSH0ZdyE-lcbDqpNw9IOltURtoM-ewAzzcec44Q5Q,586
65
+ skfolio/portfolio/_base.py,sha256=6HPFbCUve11lAhyD3KanDrlLjwzhVp6tIBy03XGBAGs,39613
66
+ skfolio/portfolio/_multi_period_portfolio.py,sha256=K2JfEwlPD9iGO58lOdk7WUbWuXZDWw2prPT5T7pOdto,24387
67
+ skfolio/portfolio/_portfolio.py,sha256=MoVuCM8rQnlzI2SvKmu1EDrNJfFFZRIyyhrZuNSdou0,32778
68
+ skfolio/pre_selection/__init__.py,sha256=gVrGZYwuQ--AZGlIZ2ddXst3n_wJluEUBXpysOH5DM0,482
69
+ skfolio/pre_selection/_drop_correlated.py,sha256=dgDl4YCHAC1lECSzuQGjI6rLoPNxvJ5bhtmwqduZH8Y,3822
70
+ skfolio/pre_selection/_select_complete.py,sha256=5xgy1c3jSXQHRIwWk1ZSuRw36WeEVIQNy55qCIl9nJY,3978
71
+ skfolio/pre_selection/_select_k_extremes.py,sha256=FSpvYN5vSGqRREFxceQiRjgGl50lJodpYJV7u-d3esQ,3065
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{skfolio-0.5.2.dist-info → skfolio-0.7.0.dist-info}/WHEEL RENAMED
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  Root-Is-Purelib: true
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  Tag: py3-none-any
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