skfolio 0.8.0__tar.gz → 0.9.0__tar.gz

{skfolio-0.8.0/src/skfolio.egg-info → skfolio-0.9.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: skfolio
-Version: 0.8.0
+Version: 0.9.0
 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>

{skfolio-0.8.0 → skfolio-0.9.0}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "skfolio"
-version = "0.8.0"
+version = "0.9.0"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
     { name = "Matteo Manzi", email = "matteomanzi09@gmail.com" }

{skfolio-0.8.0 → skfolio-0.9.0}/src/skfolio/population/_population.py

@@ -813,8 +813,7 @@ class Population(list):
                         )
                         + "<extra></extra>",
                         colorbar=dict(
-                            title=str(z),
-                            titleside="top",
+                            title=dict(text=str(z), side="top"),
                             tickformat=",.2%" if not z.is_ratio else None,
                         ),
                     )

{skfolio-0.8.0 → skfolio-0.9.0}/src/skfolio/pre_selection/__init__.py

@@ -1,6 +1,7 @@
 """Pre Selection module."""
 
 from skfolio.pre_selection._drop_correlated import DropCorrelated
+from skfolio.pre_selection._drop_zero_variance import DropZeroVariance
 from skfolio.pre_selection._select_complete import SelectComplete
 from skfolio.pre_selection._select_k_extremes import SelectKExtremes
 from skfolio.pre_selection._select_non_dominated import SelectNonDominated
@@ -8,6 +9,7 @@ from skfolio.pre_selection._select_non_expiring import SelectNonExpiring
 
 __all__ = [
     "DropCorrelated",
+    "DropZeroVariance",
     "SelectComplete",
     "SelectKExtremes",
     "SelectNonDominated",

skfolio-0.9.0/src/skfolio/pre_selection/_drop_zero_variance.py

@@ -0,0 +1,75 @@
+"""Pre-selection DropZeroVariance module."""
+
+# Copyright (c) 2025
+# Author: Vincent Maladiere <maladiere.vincent@gmail.com>
+# SPDX-License-Identifier: BSD-3-Clause
+
+import numpy as np
+import numpy.typing as npt
+import sklearn.base as skb
+import sklearn.feature_selection as skf
+import sklearn.utils.validation as skv
+
+
+class DropZeroVariance(skf.SelectorMixin, skb.BaseEstimator):
+    """Transformer for dropping assets with near-zero variance.
+
+    On short windows, some assets can experience a near-zero variance, making
+    the covariance matrix improper for optimization. This simple transformer drops
+    assets whose variance is below some threshold.
+
+    Parameters
+    ----------
+    threshold : float, default=1e-8
+        Minimum variance threshold. The default value is 1e-8. For daily asset returns,
+        this value filters out assets whose daily standard deviation is below 1e-4
+        (0.01%), which corresponds to an annual standard deviation of approximately
+        0.16%, assuming 252 trading days.
+
+    Attributes
+    ----------
+    to_keep_ : ndarray of shape (n_assets, )
+        Boolean array indicating which assets are remaining.
+
+    n_features_in_ : int
+        Number of assets seen during `fit`.
+
+    feature_names_in_ : ndarray of shape (`n_features_in_`,)
+        Names of assets seen during `fit`. Defined only when `X`
+        has assets names that are all strings.
+    """
+
+    to_keep_: np.ndarray
+
+    def __init__(self, threshold: float = 1e-8):
+        self.threshold = threshold
+
+    def fit(self, X: npt.ArrayLike, y=None):
+        """Fit the transformer on some assets.
+
+        Parameters
+        ----------
+        X : array-like of shape (n_observations, n_assets)
+            Price returns of the assets.
+
+        y : Ignored
+            Not used, present for API consistency by convention.
+
+        Returns
+        -------
+        self : DropZeroVariance
+            Fitted estimator.
+        """
+        X = skv.validate_data(self, X)
+        if self.threshold < 0:
+            raise ValueError(
+                f"`threshold` must be higher than 0, got {self.threshold}."
+            )
+
+        self.to_keep_ = X.var(axis=0) > self.threshold
+
+        return self
+
+    def _get_support_mask(self):
+        skv.check_is_fitted(self)
+        return self.to_keep_

{skfolio-0.8.0 → skfolio-0.9.0/src/skfolio.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: skfolio
-Version: 0.8.0
+Version: 0.9.0
 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>

{skfolio-0.8.0 → skfolio-0.9.0}/src/skfolio.egg-info/SOURCES.txt

@@ -99,6 +99,7 @@ src/skfolio/portfolio/_multi_period_portfolio.py
 src/skfolio/portfolio/_portfolio.py
 src/skfolio/pre_selection/__init__.py
 src/skfolio/pre_selection/_drop_correlated.py
+src/skfolio/pre_selection/_drop_zero_variance.py
 src/skfolio/pre_selection/_select_complete.py
 src/skfolio/pre_selection/_select_k_extremes.py
 src/skfolio/pre_selection/_select_non_dominated.py