skfolio 0.7.0__py3-none-any.whl → 0.8.0__py3-none-any.whl

{skfolio-0.7.0.dist-info → skfolio-0.8.0.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.4
 Name: skfolio
-Version: 0.7.0
+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>, Matteo Manzi <matteomanzi09@gmail.com>
@@ -57,20 +57,21 @@ 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: scipy>=1.15.2
 Requires-Dist: pandas>=1.4.1
-Requires-Dist: cvxpy>=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: 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"
+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: PySCIPOpt; extra == "docs"
 Requires-Dist: Sphinx; extra == "docs"
 Requires-Dist: sphinx-gallery; extra == "docs"
 Requires-Dist: sphinx-design; extra == "docs"
@@ -87,6 +88,7 @@ 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 -*-
 
@@ -129,8 +131,9 @@ Requires-Dist: nbformat; extra == "docs"
 .. |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
 
@@ -148,7 +151,7 @@ Requires-Dist: nbformat; extra == "docs"
 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/
@@ -180,7 +183,8 @@ Dependencies
 - numpy (>= |NumpyMinVersion|)
 - scipy (>= |ScipyMinVersion|)
 - pandas (>= |PandasMinVersion|)
-- cvxpy (>= |CvxpyMinVersion|)
+- cvxpy-base (>= |CvxpyBaseMinVersion|)
+- clarabel (>= |ClarabelMinVersion|)
 - scikit-learn (>= |SklearnMinVersion|)
 - joblib (>= |JoblibMinVersion|)
 - plotly (>= |PlotlyMinVersion|)
@@ -194,7 +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,
@@ -203,10 +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.
 
@@ -256,10 +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:
@@ -267,12 +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.)
@@ -317,6 +340,8 @@ Available models
     * Budget Constraints
     * Tracking Error Constraints
     * Turnover Constraints
+    * Cardinality and Group Cardinality Constraints
+    * Threshold (Long and Short) Constraints
 
 Quickstart
 ~~~~~~~~~~
@@ -339,6 +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,
@@ -359,7 +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
@@ -630,12 +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

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