skfolio 0.6.0__py3-none-any.whl → 0.7.0__py3-none-any.whl

skfolio/optimization/convex/_risk_budgeting.py

@@ -10,6 +10,7 @@ import cvxpy as cp
 import numpy as np
 import numpy.typing as npt
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 import skfolio.typing as skt
 from skfolio.measures import RiskMeasure
@@ -452,7 +453,8 @@ class RiskBudgeting(ConvexOptimization):
         """
         routed_params = skm.process_routing(self, "fit", **fit_params)
 
-        self._check_feature_names(X, reset=True)
+        # `X` is unchanged and only `feature_names_in_` is performed
+        _ = skv.validate_data(self, X, skip_check_array=True)
 
         if not isinstance(self.risk_measure, RiskMeasure):
             raise TypeError("risk_measure must be of type `RiskMeasure`")

skfolio/optimization/ensemble/_stacking.py

@@ -330,9 +330,9 @@ class StackingOptimization(BaseOptimization, BaseComposition):
             # We validate and convert to numpy array only after base-estimator fitting
             # to keep the assets names in case they are used in the estimator.
             if y is not None:
-                _, y = self._validate_data(X, y, multi_output=True)
+                _, y = skv.validate_data(self, X, y, multi_output=True)
             else:
-                _ = self._validate_data(X)
+                _ = skv.validate_data(self, X)
 
             if isinstance(self.cv, BaseCombinatorialCV):
                 X_pred = np.array(

skfolio/optimization/naive/__init__.py

@@ -1,3 +1,3 @@
 from skfolio.optimization.naive._naive import EqualWeighted, InverseVolatility, Random
 
-__all__ = ["InverseVolatility", "EqualWeighted", "Random"]
+__all__ = ["EqualWeighted", "InverseVolatility", "Random"]

skfolio/optimization/naive/_naive.py

@@ -6,6 +6,7 @@
 import numpy as np
 import numpy.typing as npt
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 from skfolio.optimization._base import BaseOptimization
 from skfolio.prior import BasePrior, EmpiricalPrior
@@ -141,7 +142,7 @@ class EqualWeighted(BaseOptimization):
         self : EqualWeighted
             Fitted estimator.
         """
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         n_assets = X.shape[1]
         self.weights_ = np.ones(n_assets) / n_assets
         return self
@@ -185,7 +186,7 @@ class Random(BaseOptimization):
         self : EqualWeighted
             Fitted estimator.
         """
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         n_assets = X.shape[1]
         self.weights_ = rand_weights_dirichlet(n=n_assets)
         return self

skfolio/portfolio/__init__.py

@@ -10,4 +10,4 @@ from skfolio.portfolio._base import BasePortfolio
 from skfolio.portfolio._multi_period_portfolio import MultiPeriodPortfolio
 from skfolio.portfolio._portfolio import Portfolio
 
-__all__ = ["BasePortfolio", "Portfolio", "MultiPeriodPortfolio"]
+__all__ = ["BasePortfolio", "MultiPeriodPortfolio", "Portfolio"]

skfolio/portfolio/_base.py

@@ -389,6 +389,7 @@ class BasePortfolio:
         "edar_beta",
     }
 
+    # ruff: noqa: RUF023
     __slots__ = {
         # public
         "tag",

skfolio/portfolio/_portfolio.py

@@ -412,6 +412,7 @@ class Portfolio(BasePortfolio):
         }
     )
 
+    # ruff: noqa: RUF023
     __slots__ = {
         # read-only
         "X",

skfolio/pre_selection/__init__.py

@@ -6,8 +6,8 @@ from skfolio.pre_selection._select_non_expiring import SelectNonExpiring
 
 __all__ = [
     "DropCorrelated",
+    "SelectComplete",
     "SelectKExtremes",
     "SelectNonDominated",
-    "SelectComplete",
     "SelectNonExpiring",
 ]

skfolio/pre_selection/_drop_correlated.py

@@ -74,7 +74,7 @@ class DropCorrelated(skf.SelectorMixin, skb.BaseEstimator):
         self : DropCorrelated
             Fitted estimator.
         """
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         if not -1 <= self.threshold <= 1:
             raise ValueError("`threshold` must be between -1 and 1")
 

skfolio/pre_selection/_select_complete.py

@@ -97,7 +97,7 @@ class SelectComplete(skf.SelectorMixin, skb.BaseEstimator):
             Fitted estimator.
         """
         # Validate by allowing NaNs
-        X = self._validate_data(X, force_all_finite="allow-nan")
+        X = skv.validate_data(self, X, ensure_all_finite="allow-nan")
 
         if self.drop_assets_with_internal_nan:
             # Identify columns with any NaNs
@@ -108,9 +108,11 @@ class SelectComplete(skf.SelectorMixin, skb.BaseEstimator):
 
         return self
 
-    def _get_support_mask(self):
+    def _get_support_mask(self) -> np.ndarray:
         skv.check_is_fitted(self)
         return self.to_keep_
 
-    def _more_tags(self):
-        return {"allow_nan": True}
+    def __sklearn_tags__(self):
+        tags = super().__sklearn_tags__()
+        tags.input_tags.allow_nan = True
+        return tags

skfolio/pre_selection/_select_k_extremes.py

@@ -76,7 +76,7 @@ class SelectKExtremes(skf.SelectorMixin, skb.BaseEstimator):
         self : SelectKExtremes
             Fitted estimator.
         """
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         k = int(self.k)
         if k <= 0:
             raise ValueError("`k` must be strictly positive")

skfolio/pre_selection/_select_non_dominated.py

@@ -95,7 +95,7 @@ class SelectNonDominated(skf.SelectorMixin, skb.BaseEstimator):
         self : SelectNonDominated
             Fitted estimator.
         """
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         if not -1 <= self.threshold <= 1:
             raise ValueError("`threshold` must be between -1 and 1")
         n_assets = X.shape[1]

skfolio/pre_selection/_select_non_expiring.py

@@ -114,7 +114,7 @@ class SelectNonExpiring(skf.SelectorMixin, skb.BaseEstimator):
         self : SelectNonExpiring
             Fitted estimator.
         """
-        _ = self._validate_data(X, force_all_finite="allow-nan")
+        _ = skv.validate_data(self, X, ensure_all_finite="allow-nan")
 
         # Validate by allowing NaNs
         if not hasattr(X, "index") or not isinstance(X.index, pd.DatetimeIndex):
@@ -140,9 +140,11 @@ class SelectNonExpiring(skf.SelectorMixin, skb.BaseEstimator):
 
         return self
 
-    def _get_support_mask(self):
+    def _get_support_mask(self) -> np.ndarray:
         skv.check_is_fitted(self)
         return self.to_keep_
 
-    def _more_tags(self):
-        return {"allow_nan": True}
+    def __sklearn_tags__(self):
+        tags = super().__sklearn_tags__()
+        tags.input_tags.allow_nan = True
+        return tags

skfolio/prior/__init__.py

@@ -8,11 +8,11 @@ from skfolio.prior._factor_model import (
 )
 
 __all__ = [
-    "PriorModel",
+    "BaseLoadingMatrix",
     "BasePrior",
-    "EmpiricalPrior",
     "BlackLitterman",
+    "EmpiricalPrior",
     "FactorModel",
-    "BaseLoadingMatrix",
     "LoadingMatrixRegression",
+    "PriorModel",
 ]

skfolio/prior/_black_litterman.py

@@ -10,6 +10,7 @@
 import numpy as np
 import numpy.typing as npt
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 from skfolio.moments import EquilibriumMu
 from skfolio.prior._base import BasePrior, PriorModel
@@ -182,7 +183,7 @@ class BlackLitterman(BasePrior):
 
         # we validate after all models have been fitted to keep features names
         # information.
-        self._validate_data(X)
+        skv.validate_data(self, X)
 
         n_assets = prior_returns.shape[1]
         views = np.asarray(self.views)

skfolio/prior/_empirical.py

@@ -7,6 +7,7 @@
 import numpy as np
 import numpy.typing as npt
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 from skfolio.moments import BaseCovariance, BaseMu, EmpiricalCovariance, EmpiricalMu
 from skfolio.prior._base import BasePrior, PriorModel
@@ -190,7 +191,7 @@ class EmpiricalPrior(BasePrior):
 
         # we validate and convert to numpy after all models have been fitted to keep
         # features names information.
-        X = self._validate_data(X)
+        X = skv.validate_data(self, X)
         self.prior_model_ = PriorModel(
             mu=mu,
             covariance=covariance,

skfolio/prior/_factor_model.py

@@ -17,6 +17,7 @@ import sklearn.base as skb
 import sklearn.linear_model as skl
 import sklearn.multioutput as skmo
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 from skfolio.prior._base import BasePrior, PriorModel
 from skfolio.prior._empirical import EmpiricalPrior
@@ -273,7 +274,7 @@ class FactorModel(BasePrior):
 
         # we validate and convert to numpy after all models have been fitted to keep
         # features names information.
-        X, y = self._validate_data(X, y, multi_output=True)
+        X, y = skv.validate_data(self, X, y, multi_output=True)
         n_assets = X.shape[1]
         n_factors = y.shape[1]
 

skfolio/typing.py

@@ -14,20 +14,20 @@ import plotly.graph_objects as go
 from skfolio.measures import ExtraRiskMeasure, PerfMeasure, RatioMeasure, RiskMeasure
 
 __all__ = [
+    "CvxMeasure",
+    "ExpressionFunction",
+    "Factor",
     "Groups",
     "Inequality",
     "LinearConstraints",
+    "Measure",
     "MultiInput",
-    "Target",
+    "Names",
     "ParametersValues",
-    "Factor",
     "Result",
     "RiskResult",
-    "ExpressionFunction",
-    "Measure",
-    "CvxMeasure",
-    "Names",
     "Tags",
+    "Target",
 ]
 
 Measure = PerfMeasure | RiskMeasure | ExtraRiskMeasure | RatioMeasure

skfolio/uncertainty_set/__init__.py

@@ -13,11 +13,11 @@ from skfolio.uncertainty_set._empirical import (
 )
 
 __all__ = [
-    "UncertaintySet",
-    "BaseMuUncertaintySet",
     "BaseCovarianceUncertaintySet",
-    "EmpiricalMuUncertaintySet",
-    "EmpiricalCovarianceUncertaintySet",
-    "BootstrapMuUncertaintySet",
+    "BaseMuUncertaintySet",
     "BootstrapCovarianceUncertaintySet",
+    "BootstrapMuUncertaintySet",
+    "EmpiricalCovarianceUncertaintySet",
+    "EmpiricalMuUncertaintySet",
+    "UncertaintySet",
 ]

skfolio/uncertainty_set/_base.py

@@ -11,6 +11,7 @@ import numpy as np
 import numpy.typing as npt
 import sklearn.base as skb
 import sklearn.utils.metadata_routing as skm
+import sklearn.utils.validation as skv
 
 from skfolio.prior import BasePrior
 
@@ -113,9 +114,9 @@ class BaseCovarianceUncertaintySet(skb.BaseEstimator, ABC):
             Validated price returns of factors or a target benchmark if provided.
         """
         if y is None:
-            X = self._validate_data(X)
+            X = skv.validate_data(self, X)
         else:
-            X, y = self._validate_data(X, y, multi_output=True)
+            X, y = skv.validate_data(self, X, y, multi_output=True)
         return X, y
 
     def get_metadata_routing(self):

skfolio/utils/stats.py

@@ -23,20 +23,20 @@ from skfolio.utils.tools import AutoEnum
 
 __all__ = [
     "NBinsMethod",
-    "n_bins_freedman",
-    "n_bins_knuth",
-    "is_cholesky_dec",
+    "assert_is_distance",
     "assert_is_square",
     "assert_is_symmetric",
-    "assert_is_distance",
-    "cov_nearest",
-    "cov_to_corr",
-    "corr_to_cov",
     "commutation_matrix",
     "compute_optimal_n_clusters",
+    "corr_to_cov",
+    "cov_nearest",
+    "cov_to_corr",
+    "is_cholesky_dec",
+    "minimize_relative_weight_deviation",
+    "n_bins_freedman",
+    "n_bins_knuth",
     "rand_weights",
     "rand_weights_dirichlet",
-    "minimize_relative_weight_deviation",
 ]
 
 

skfolio/utils/tools.py

@@ -21,21 +21,21 @@ import sklearn.base as skb
 
 __all__ = [
     "AutoEnum",
-    "cached_property_slots",
-    "cache_method",
-    "input_to_array",
     "args_names",
-    "format_measure",
-    "optimal_rounding_decimals",
     "bisection",
-    "safe_split",
-    "fit_single_estimator",
-    "fit_and_predict",
-    "safe_indexing",
+    "cache_method",
+    "cached_property_slots",
+    "check_estimator",
     "deduplicate_names",
     "default_asset_names",
-    "check_estimator",
+    "fit_and_predict",
+    "fit_single_estimator",
+    "format_measure",
     "get_feature_names",
+    "input_to_array",
+    "optimal_rounding_decimals",
+    "safe_indexing",
+    "safe_split",
 ]
 
 GenericAlias = type(list[int])

{skfolio-0.6.0.dist-info → skfolio-0.7.0.dist-info}/METADATA

@@ -1,9 +1,9 @@
 Metadata-Version: 2.1
 Name: skfolio
-Version: 0.6.0
+Version: 0.7.0
 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>
+Maintainer-email: Hugo Delatte <delatte.hugo@gmail.com>, Matteo Manzi <matteomanzi09@gmail.com>
 License: BSD 3-Clause License
         
         Copyright (c) 2007-2023 The skfolio developers.
@@ -56,36 +56,37 @@ Classifier: Topic :: Software Development
 Requires-Python: >=3.10
 Description-Content-Type: text/x-rst
 License-File: LICENSE
-Requires-Dist: numpy >=1.23.4
-Requires-Dist: scipy >=1.8.0
-Requires-Dist: pandas >=1.4.1
-Requires-Dist: cvxpy >=1.4.1
-Requires-Dist: scikit-learn >=1.5.0
-Requires-Dist: joblib >=1.3.2
-Requires-Dist: plotly >=5.22.0
+Requires-Dist: numpy>=1.23.4
+Requires-Dist: scipy>=1.8.0
+Requires-Dist: pandas>=1.4.1
+Requires-Dist: cvxpy>=1.4.1
+Requires-Dist: scikit-learn>=1.6.0
+Requires-Dist: joblib>=1.3.2
+Requires-Dist: plotly>=5.22.0
+Provides-Extra: dev
+Requires-Dist: cvxpy[SCIP]<2.0.0,>=1.6.0; extra == "dev"
+Requires-Dist: pytest<9.0.0,>=8.3.4; extra == "dev"
+Requires-Dist: pytest-cov<7.0.0,>=6.0.0; extra == "dev"
+Requires-Dist: ruff<1.0.0,>=0.8.4; extra == "dev"
+Requires-Dist: pre-commit<4.2.0,>=4.0.0; extra == "dev"
 Provides-Extra: docs
-Requires-Dist: cvxpy[scip] ; extra == 'docs'
-Requires-Dist: Sphinx ; extra == 'docs'
-Requires-Dist: sphinx-gallery ; extra == 'docs'
-Requires-Dist: sphinx-design ; extra == 'docs'
-Requires-Dist: pydata-sphinx-theme ==0.13.3 ; extra == 'docs'
-Requires-Dist: matplotlib ; extra == 'docs'
-Requires-Dist: kaleido ==0.2.1 ; extra == 'docs'
-Requires-Dist: sphinx-copybutton ; extra == 'docs'
-Requires-Dist: numpydoc ; extra == 'docs'
-Requires-Dist: sphinx-togglebutton ; extra == 'docs'
-Requires-Dist: sphinx-favicon ; extra == 'docs'
-Requires-Dist: sphinx-prompt ; extra == 'docs'
-Requires-Dist: sphinxext.opengraph ; extra == 'docs'
-Requires-Dist: sphinx-sitemap ; extra == 'docs'
-Requires-Dist: jupyterlite-sphinx ; extra == 'docs'
-Requires-Dist: jupyterlite-pyodide-kernel ; extra == 'docs'
-Requires-Dist: nbformat ; extra == 'docs'
-Provides-Extra: tests
-Requires-Dist: cvxpy[scip] ; extra == 'tests'
-Requires-Dist: pytest ; extra == 'tests'
-Requires-Dist: pytest-cov ; extra == 'tests'
-Requires-Dist: ruff ; extra == 'tests'
+Requires-Dist: cvxpy[SCIP]; extra == "docs"
+Requires-Dist: Sphinx; extra == "docs"
+Requires-Dist: sphinx-gallery; extra == "docs"
+Requires-Dist: sphinx-design; extra == "docs"
+Requires-Dist: pydata-sphinx-theme==0.13.3; extra == "docs"
+Requires-Dist: matplotlib; extra == "docs"
+Requires-Dist: kaleido==0.2.1; extra == "docs"
+Requires-Dist: sphinx-copybutton; extra == "docs"
+Requires-Dist: numpydoc; extra == "docs"
+Requires-Dist: sphinx-togglebutton; extra == "docs"
+Requires-Dist: sphinx-favicon; extra == "docs"
+Requires-Dist: sphinx-prompt; extra == "docs"
+Requires-Dist: sphinxext.opengraph; extra == "docs"
+Requires-Dist: sphinx-sitemap; extra == "docs"
+Requires-Dist: jupyterlite-sphinx; extra == "docs"
+Requires-Dist: jupyterlite-pyodide-kernel; extra == "docs"
+Requires-Dist: nbformat; extra == "docs"
 
 .. -*- mode: rst -*-
 

skfolio-0.7.0.dist-info/RECORD

@@ -0,0 +1,95 @@
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+skfolio/datasets/_base.py,sha256=ECeHHlNOb2U5hEE3kaK8yQtegcVYiuGTjMLJ3Dop0Ks,16073
+skfolio/datasets/data/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+skfolio/datasets/data/factors_dataset.csv.gz,sha256=brCJlT25DJo40yg1gnUXAakNtvWZZYR_1ksFeN5JcWE,36146
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{skfolio-0.6.0.dist-info → skfolio-0.7.0.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
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+Generator: setuptools (75.6.0)
 Root-Is-Purelib: true
 Tag: py3-none-any