skfolio 0.6.0__py3-none-any.whl → 0.8.0__py3-none-any.whl

skfolio/utils/tools.py

@@ -1,12 +1,13 @@
-"""Tools module"""
+"""Tools module."""
 
 # Copyright (c) 2023
 # Author: Hugo Delatte <delatte.hugo@gmail.com>
-# License: BSD 3 clause
+# SPDX-License-Identifier: BSD-3-Clause
 # Implementation derived from:
 # scikit-learn, Copyright (c) 2007-2010 David Cournapeau, Fabian Pedregosa, Olivier
 # Grisel Licensed under BSD 3 clause.
 
+import warnings
 from collections.abc import Callable, Iterator
 from enum import Enum
 from functools import wraps
@@ -21,34 +22,35 @@ 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",
+    "validate_input_list",
 ]
 
 GenericAlias = type(list[int])
 
 
 class AutoEnum(str, Enum):
-    """Base Enum class used in `skfolio`"""
+    """Base Enum class used in `skfolio`."""
 
     @staticmethod
     def _generate_next_value_(
         name: str, start: int, count: int, last_values: Any
     ) -> str:
-        """Overriding `auto()`"""
+        """Overriding `auto()`."""
         return name.lower()
 
     @classmethod
@@ -68,13 +70,13 @@ class AutoEnum(str, Enum):
         return value in cls._value2member_map_
 
     def __repr__(self) -> str:
-        """Representation of the Enum"""
+        """Representation of the Enum."""
         return self.name
 
 
 # noinspection PyPep8Naming
 class cached_property_slots:
-    """Cached property decorator for slots"""
+    """Cached property decorator for slots."""
 
     def __init__(self, func):
         self.func = func
@@ -83,10 +85,12 @@ class cached_property_slots:
         self.__doc__ = func.__doc__
 
     def __set_name__(self, owner, name):
+        """Set Name."""
         self.public_name = name
         self.private_name = f"_{name}"
 
     def __get__(self, instance, owner=None):
+        """Getter."""
         if instance is None:
             return self
         if self.private_name is None:
@@ -102,6 +106,7 @@ class cached_property_slots:
         return value
 
     def __set__(self, instance, owner=None):
+        """Setter."""
         raise AttributeError(
             f"'{type(instance).__name__}' object attribute '{self.public_name}' is"
             " read-only"
@@ -111,7 +116,7 @@ class cached_property_slots:
 
 
 def _make_key(args, kwds) -> int:
-    """Make a cache key from optionally typed positional and keyword arguments"""
+    """Make a cache key from optionally typed positional and keyword arguments."""
     key = args
     if kwds:
         for item in kwds.items():
@@ -248,7 +253,6 @@ def safe_split(
     y_subset : array-like
         Indexed targets.
     """
-
     X_subset = safe_indexing(X, indices=indices, axis=axis)
     if y is not None:
         y_subset = safe_indexing(y, indices=indices, axis=axis)
@@ -340,10 +344,9 @@ def check_estimator(
 
     Returns
     -------
-    estimator: Estimator
+    estimator : Estimator
         The checked estimator or the default.
     """
-
     if estimator is None:
         return default
     if not isinstance(estimator, check_type):
@@ -439,6 +442,67 @@ def input_to_array(
     return arr
 
 
+def validate_input_list(
+    items: list[int | str],
+    n_assets: int,
+    assets_names: np.ndarray[str] | None,
+    name: str,
+    raise_if_string_missing: bool = True,
+) -> list[int]:
+    """Convert a list of items (asset indices or asset names) into a list of
+    validated asset indices.
+
+    Parameters
+    ----------
+    items : list[int | str]
+       List of asset indices or asset names.
+
+    n_assets : int
+       Expected number of assets.
+       Used for verification.
+
+    assets_names : ndarray, optional
+       Asset names used when `items` contain strings.
+
+    name : str
+       Name of the items used for error messages.
+
+    raise_if_string_missing : bool, default=True
+        If set to True, raises an error if an item string is missing from assets_names;
+        otherwise, issue a User Warning.
+
+    Returns
+    -------
+    values : list[int]
+       Converted and validated list.
+    """
+    if len(set(items)) != len(items):
+        raise ValueError(f"Duplicates found in {items}")
+
+    asset_indices = set(range(n_assets))
+    res = []
+    for asset in items:
+        if isinstance(asset, str):
+            if assets_names is None:
+                raise ValueError(
+                    f"If `{name}` is provided as a list of string, you must input `X` "
+                    f"as a DataFrame with assets names in columns."
+                )
+            mask = assets_names == asset
+            if np.any(mask):
+                res.append(int(np.where(mask)[0][0]))
+            else:
+                if raise_if_string_missing:
+                    raise ValueError(f"{asset} not found in {assets_names}")
+                else:
+                    warnings.warn(f"{asset} not found in {assets_names}", stacklevel=2)
+        else:
+            if asset not in asset_indices:
+                raise ValueError(f"`central_assets` {asset} is not in {asset_indices}.")
+            res.append(int(asset))
+    return res
+
+
 def format_measure(x: float, percent: bool = False) -> str:
     """Format a measure number into a user-friendly string.
 
@@ -514,7 +578,7 @@ def fit_single_estimator(
     indices: np.ndarray | None = None,
     axis: int = 0,
 ):
-    """function used to fit an estimator within a job.
+    """Function used to fit an estimator within a job.
 
     Parameters
     ----------
@@ -622,7 +686,7 @@ def fit_and_predict(
 
 
 def default_asset_names(n_assets: int) -> np.ndarray:
-    """Default asset names are `["x0", "x1", ..., "x(n_assets - 1)"]`
+    """Default asset names are `["x0", "x1", ..., "x(n_assets - 1)"]`.
 
     Parameters
     ----------

{skfolio-0.6.0.dist-info → skfolio-0.8.0.dist-info}/METADATA

@@ -1,9 +1,9 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.4
 Name: skfolio
-Version: 0.6.0
+Version: 0.8.0
 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 +56,39 @@ 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>=1.15.2
+Requires-Dist: pandas>=1.4.1
+Requires-Dist: cvxpy-base>=1.5.0
+Requires-Dist: clarabel>=0.9.0
+Requires-Dist: scikit-learn>=1.6.0
+Requires-Dist: joblib>=1.3.2
+Requires-Dist: plotly>=5.22.0
+Provides-Extra: dev
+Requires-Dist: PySCIPOpt; extra == "dev"
+Requires-Dist: pytest; extra == "dev"
+Requires-Dist: pytest-cov; extra == "dev"
+Requires-Dist: ruff; extra == "dev"
+Requires-Dist: pre-commit; 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: PySCIPOpt; 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"
+Dynamic: license-file
 
 .. -*- mode: rst -*-
 
@@ -128,8 +131,9 @@ Requires-Dist: ruff ; extra == 'tests'
 .. |NumpyMinVersion| replace:: 1.23.4
 .. |ScipyMinVersion| replace:: 1.8.0
 .. |PandasMinVersion| replace:: 1.4.1
-.. |CvxpyMinVersion| replace:: 1.4.1
-.. |SklearnMinVersion| replace:: 1.5.0
+.. |CvxpyBaseMinVersion| replace:: 1.5.0
+.. |ClarabelMinVersion| replace:: 0.9.0
+.. |SklearnMinVersion| replace:: 1.6.0
 .. |JoblibMinVersion| replace:: 1.3.2
 .. |PlotlyMinVersion| replace:: 5.22.0
 
@@ -147,7 +151,7 @@ Requires-Dist: ruff ; extra == 'tests'
 It offers a unified interface and tools compatible with scikit-learn to build, fine-tune,
 and cross-validate portfolio models.
 
-It is distributed under the open source 3-Clause BSD license.
+It is distributed under the open-source 3-Clause BSD license.
 
 .. image:: https://raw.githubusercontent.com/skfolio/skfolio/master/docs/_static/expo.jpg
     :target: https://skfolio.org/auto_examples/
@@ -179,7 +183,8 @@ Dependencies
 - numpy (>= |NumpyMinVersion|)
 - scipy (>= |ScipyMinVersion|)
 - pandas (>= |PandasMinVersion|)
-- cvxpy (>= |CvxpyMinVersion|)
+- cvxpy-base (>= |CvxpyBaseMinVersion|)
+- clarabel (>= |ClarabelMinVersion|)
 - scikit-learn (>= |SklearnMinVersion|)
 - joblib (>= |JoblibMinVersion|)
 - plotly (>= |PlotlyMinVersion|)
@@ -193,7 +198,7 @@ Unfortunately, it faces a number of shortcomings, including high sensitivity to
 input parameters (expected returns and covariance), weight concentration, high turnover,
 and poor out-of-sample performance.
 
-It is well known that naive allocation (1/N, inverse-vol, etc.) tends to outperform
+It is well-known that naive allocation (1/N, inverse-vol, etc.) tends to outperform
 MVO out-of-sample (DeMiguel, 2007).
 
 Numerous approaches have been developed to alleviate these shortcomings (shrinkage,
@@ -202,10 +207,10 @@ approaches, coherent risk measures, left-tail risk optimization, distributionall
 optimization, factor model, risk-parity, hierarchical clustering, ensemble methods,
 pre-selection, etc.).
 
-With this large number of methods, added to the fact that they can be composed together,
-there is a need for a unified framework with a machine learning approach to perform
-model selection, validation, and parameter tuning while reducing the risk of data
-leakage and overfitting.
+Given the large number of methods, and the fact that they can be combined, there is a
+need for a unified framework with a machine-learning approach to perform model
+selection, validation, and parameter tuning while mitigating the risk of data leakage
+and overfitting.
 
 This framework is built on scikit-learn's API.
 
@@ -255,10 +260,27 @@ Available models
     * Distance Correlation
     * Variation of Information
 
+* Distribution Estimator:
+    * Univariate:
+        * Gaussian
+        * Student's t
+        * Johnson Su
+        * Normal Inverse Gaussian
+    * Bivariate Copula
+        * Gaussian Copula
+        * Student's t Copula
+        * Clayton Copula
+        * Gumbel Copula
+        * Joe Copula
+        * Independent Copula
+    * Multivariate
+        * Vine Copula (Regular, Centered, Clustered, Conditional Sampling)
+
 * Prior Estimator:
     * Empirical
     * Black & Litterman
     * Factor Model
+    * Synthetic Data (Stress Test, Factor Stress Test)
 
 * Uncertainty Set Estimator:
     * On Expected Returns:
@@ -266,12 +288,14 @@ Available models
         * Circular Bootstrap
     * On Covariance:
         * Empirical
-        * Circular bootstrap
+        * Circular Bootstrap
 
 * Pre-Selection Transformer:
     * Non-Dominated Selection
     * Select K Extremes (Best or Worst)
     * Drop Highly Correlated Assets
+    * Select Non-Expiring Assets
+    * Select Complete Assets (handle late inception, delisting, etc.)
 
 * Cross-Validation and Model Selection:
     * Compatible with all `sklearn` methods (KFold, etc.)
@@ -316,6 +340,8 @@ Available models
     * Budget Constraints
     * Tracking Error Constraints
     * Turnover Constraints
+    * Cardinality and Group Cardinality Constraints
+    * Threshold (Long and Short) Constraints
 
 Quickstart
 ~~~~~~~~~~
@@ -338,6 +364,7 @@ Imports
 
     from skfolio import RatioMeasure, RiskMeasure
     from skfolio.datasets import load_factors_dataset, load_sp500_dataset
+    from skfolio.distribution import VineCopula
     from skfolio.model_selection import (
         CombinatorialPurgedCV,
         WalkForward,
@@ -358,7 +385,7 @@ Imports
     )
     from skfolio.pre_selection import SelectKExtremes
     from skfolio.preprocessing import prices_to_returns
-    from skfolio.prior import BlackLitterman, EmpiricalPrior, FactorModel
+    from skfolio.prior import BlackLitterman, EmpiricalPrior, FactorModel, SyntheticData
     from skfolio.uncertainty_set import BootstrapMuUncertaintySet
 
 Load Dataset
@@ -629,12 +656,61 @@ Combinatorial Purged Cross-Validation
     print(population.summary())
 
 
+Minimum CVaR Optimization on Synthetic Returns
+----------------------------------------------
+.. code-block:: python
+
+    vine = VineCopula(log_transform=True, n_jobs=-1)
+    prior = =SyntheticData(distribution_estimator=vine, n_samples=2000)
+    model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=prior)
+    model.fit(X)
+    print(model.weights_)
+
+
+Stress Test
+-----------
+.. code-block:: python
+
+    vine = VineCopula(log_transform=True, central_assets=["BAC"]  n_jobs=-1)
+    vine.fit(X)
+    X_stressed = vine.sample(n_samples=10_000, conditioning = {"BAC": -0.2})
+    ptf_stressed = model.predict(X_stressed)
+
+
+Minimum CVaR Optimization on Synthetic Factors
+----------------------------------------------
+.. code-block:: python
+
+    vine = VineCopula(central_assets=["QUAL"], log_transform=True, n_jobs=-1)
+    factor_prior = SyntheticData(
+        distribution_estimator=vine,
+        n_samples=10_000,
+        sample_args=dict(conditioning={"QUAL": -0.2}),
+    )
+    factor_model = FactorModel(factor_prior_estimator=factor_prior)
+    model = MeanRisk(risk_measure=RiskMeasure.CVAR, prior_estimator=factor_model)
+    model.fit(X, y)
+    print(model.weights_)
+
+
+Factor Stress Test
+------------------
+.. code-block:: python
+
+    factor_model.set_params(factor_prior_estimator__sample_args=dict(
+        conditioning={"QUAL": -0.5}
+    ))
+    factor_model.fit(X,y)
+    stressed_X = factor_model.prior_model_.returns
+    stressed_ptf = model.predict(stressed_X)
+
+
 Recognition
 ~~~~~~~~~~~
 
-We would like to thank all contributors behind our direct dependencies, such as
-scikit-learn and cvxpy, but also the contributors of the following resources that were a
-source of inspiration:
+We would like to thank all contributors to our direct dependencies, such as
+scikit-learn and cvxpy, as well as the contributors of the following resources that
+served as sources of inspiration:
 
     * PyPortfolioOpt
     * Riskfolio-Lib

skfolio-0.8.0.dist-info/RECORD

@@ -0,0 +1,120 @@
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{skfolio-0.6.0.dist-info → skfolio-0.8.0.dist-info}/WHEEL

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 Root-Is-Purelib: true
 Tag: py3-none-any