skfolio 0.8.1__py3-none-any.whl → 0.9.1__py3-none-any.whl

skfolio/optimization/convex/_maximum_diversification.py

@@ -256,9 +256,6 @@ class MaximumDiversification(MeanRisk):
     min_return : float | array-like of shape (n_optimization), optional
         Lower bound constraint on the expected return.
 
-    min_return : float | array-like of shape (n_optimization), optional
-        Lower bound constraint on the expected return.
-
     add_objective : Callable[[cp.Variable], cp.Expression], optional
         Add a custom objective to the existing objective expression.
         It is a function that must take as argument the weights `w` and returns a

skfolio/optimization/convex/_mean_risk.py

@@ -902,7 +902,7 @@ class MeanRisk(ConvexOptimization):
             )
             constraints += [
                 tracking_error * self._scale_constraints
-                <= self.max_tracking_error * self._scale_constraints
+                <= self.max_tracking_error * factor * self._scale_constraints
             ]
 
         # Turnover
@@ -1036,6 +1036,15 @@ class MeanRisk(ConvexOptimization):
                     + custom_objective * self._scale_objective
                 )
             case ObjectiveFunction.MAXIMIZE_RATIO:
+                # Capture common obvious mistake before solver failure to help user
+                if np.isscalar(self.min_weights) and self.min_weights >= 0:
+                    if np.max(prior_model.mu) - self.risk_free_rate <= 0:
+                        raise ValueError(
+                            "Cannot optimize for Maximum Ratio with your current "
+                            "constraints and input. This is because your assets' "
+                            "expected returns are all under-performing your risk-free "
+                            f"rate {self.risk_free_rate:.2%}."
+                        )
                 homogenization_factor = _optimal_homogenization_factor(
                     mu=prior_model.mu
                 )
@@ -1060,7 +1069,6 @@ class MeanRisk(ConvexOptimization):
                     # Fractional Programming Problems".
                     # The condition to work is f1 >= 0, so we need to raise an user
                     # warning when it's not the case.
-                    # TODO: raise user warning when f1<0
 
                     constraints += [
                         expected_return * self._scale_constraints

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/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/pre_selection/_select_non_expiring.py

@@ -123,7 +123,7 @@ class SelectNonExpiring(skf.SelectorMixin, skb.BaseEstimator):
             )
 
         if self.expiration_dates is None:
-            raise ValueError("`expiration_lookahead` must be provided")
+            raise ValueError("`expiration_dates` must be provided")
 
         if self.expiration_lookahead is None:
             raise ValueError("`expiration_lookahead` must be provided")

skfolio/utils/equations.py

@@ -276,7 +276,7 @@ def _matching_array(values: np.ndarray, key: str, sum_to_one: bool) -> np.ndarra
     if not arr.any():
         raise EquationToMatrixError(f"Unable to find '{key}' in '{values}'")
     if sum_to_one:
-        s = np.sum(arr)
+        s = arr.sum()
     else:
         s = 1
     return arr / s

{skfolio-0.8.1.dist-info → skfolio-0.9.1.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: skfolio
-Version: 0.8.1
+Version: 0.9.1
 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-0.8.1.dist-info → skfolio-0.9.1.dist-info}/RECORD

@@ -74,8 +74,8 @@ skfolio/optimization/cluster/hierarchical/_hrp.py,sha256=06kch9QkthV5yB8RNB_5Xz-
 skfolio/optimization/convex/__init__.py,sha256=q1Q2p7HcnmbQlBIA0SXm0TwDGxl7hRc0JhF1o01lFSg,605
 skfolio/optimization/convex/_base.py,sha256=mUTXVM6bq5cvlieAl6TXNGd6BNIqBajoAiDL28fPx9o,89455
 skfolio/optimization/convex/_distributionally_robust.py,sha256=4iWfEuJGuBawVGU5X1-QHVMMh9hBnMtou2Uh5hRdXeA,17958
-skfolio/optimization/convex/_maximum_diversification.py,sha256=a8nDecN6jTR_bOFKBsenI4G2kNu5t98y5ALY78lNrAU,19657
-skfolio/optimization/convex/_mean_risk.py,sha256=mM5KMCxwAf1dT6JTxJuuQfvvk63hMQg5GD3LumQkfjQ,49534
+skfolio/optimization/convex/_maximum_diversification.py,sha256=hYnzmHjVrc0gGIrGsMuc0ptGqKJNSU5t16DIjSErYHM,19529
+skfolio/optimization/convex/_mean_risk.py,sha256=Puj-OUBwV-0y4vbNwwNVKTQqf1YuwQxqf8pknOTZ3ec,50105
 skfolio/optimization/convex/_risk_budgeting.py,sha256=xtRg3CGmasi-ebx7e5XevHJs3n9PpccaZR7Z7loyKDc,23653
 skfolio/optimization/ensemble/__init__.py,sha256=IJhsX8f-6wclc9a6Fd8yAQvZKxtxq4Qf7AC2CLryHrU,195
 skfolio/optimization/ensemble/_base.py,sha256=e0dWCEIYnho3HU2KGGS9UHQdycdVuqMcTe7hi0LihjQ,3416
@@ -88,12 +88,13 @@ skfolio/portfolio/__init__.py,sha256=YeDSH0ZdyE-lcbDqpNw9IOltURtoM-ewAzzcec44Q5Q
 skfolio/portfolio/_base.py,sha256=V81HUQ2CWmohGOeNip1dPESGnmRKQk8eDAthjkvVFhQ,40541
 skfolio/portfolio/_multi_period_portfolio.py,sha256=9z71aZL2GrV6rQ_EkIyPkK-mJ9N2ZLZCIinSScfRgfw,24412
 skfolio/portfolio/_portfolio.py,sha256=o1e1KNZAuxlC8y3zTIcaW7c2jk_LlEBCzEF8FRJht20,32791
-skfolio/pre_selection/__init__.py,sha256=3hqxwd8nAa1dBna5MrE1P5JPrM-OkSvXGyhbMq7ZKIk,511
+skfolio/pre_selection/__init__.py,sha256=6J_D0QIMi24owwJJP6vxYnIgIyWZuMzCMnpMCEpAvCo,606
 skfolio/pre_selection/_drop_correlated.py,sha256=4-PSd8R20Rcdyc8Zzcy9B2eRPEtaEkM3YXi74YKF-Pk,3839
+skfolio/pre_selection/_drop_zero_variance.py,sha256=66Mi0Fta1kdmLw0CCqa7p9AqpoBpS9B3fGPLqhb8VIU,2312
 skfolio/pre_selection/_select_complete.py,sha256=2nEvcjROMJzhAHMCHADeAiCws_tc-BMtndIkjRexL84,3902
 skfolio/pre_selection/_select_k_extremes.py,sha256=nMugK88igmscribCw_I1UnjE_O7cuIjrJF8AGuVTfiA,3082
 skfolio/pre_selection/_select_non_dominated.py,sha256=Auv7G8E1QNO96heb35oBWmFLd68LlVDRgSpcg7wpv5A,6004
-skfolio/pre_selection/_select_non_expiring.py,sha256=hVXLNw5KBU7WxOI6v4feZ9lJaVIgl-CBhW80T9-ZUac,5105
+skfolio/pre_selection/_select_non_expiring.py,sha256=g7ekl69MxQFkg06Km3NiuJXr0JfYPqvo5hMLQsIcUKY,5101
 skfolio/preprocessing/__init__.py,sha256=94jMyP_E7FlwQVE8D_bXDi8KyfAA2xPHTDvYOi6zf_g,123
 skfolio/preprocessing/_returns.py,sha256=6G5qJIVHGnIoeBNAqpJTB-569g9NeXVIyrz033bK5Gk,4576
 skfolio/prior/__init__.py,sha256=daUO3ha87Nu0ixJci33dR1dKgoYC6-1Nf3AUoaskE5o,544
@@ -109,12 +110,12 @@ skfolio/uncertainty_set/_bootstrap.py,sha256=tDnUvhTtl0HWu-xL6MWZZZyWs4Y06PKQ5xP
 skfolio/uncertainty_set/_empirical.py,sha256=t9_V23gH1eJ0jaASQcus-QOSATAr9HKVW2hjHMNYjO0,9380
 skfolio/utils/__init__.py,sha256=bC6-MsCVF7xKTr48z7OzJJUeWvqAB7BiHeNTiKsme70,20
 skfolio/utils/bootstrap.py,sha256=6BN_9CgfbeImBSNEE0dF52FRGuQT41HcQXeHPLwFqJc,3565
-skfolio/utils/equations.py,sha256=yj6-TReoPq3YaUQyAx-t4wZNbODON2T4TyA82z2SnkU,15577
+skfolio/utils/equations.py,sha256=ZDEAapAfWeiOHvQbboswSqfQInlQklKJDtkiV__d-sc,15575
 skfolio/utils/sorting.py,sha256=F7gfIBfnulfDUiqvzrlR-pba4PPLJT6NH7-5s4sdRhw,3521
 skfolio/utils/stats.py,sha256=glVHo7rjwy06dl5kkULLOADMrEkVJcfXXAz-1qmYQL4,17005
 skfolio/utils/tools.py,sha256=sGJFiqc60TqXyaWoH7JdsbaFYj_bvwq3hHIk6FxDC3U,22994
-skfolio-0.8.1.dist-info/licenses/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
-skfolio-0.8.1.dist-info/METADATA,sha256=OkbDH8ZCJ72VOXzIi4KEm1ZwGQ4E05WVMCkWGg6EqYk,22383
-skfolio-0.8.1.dist-info/WHEEL,sha256=1tXe9gY0PYatrMPMDd6jXqjfpz_B-Wqm32CPfRC58XU,91
-skfolio-0.8.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
-skfolio-0.8.1.dist-info/RECORD,,
+skfolio-0.9.1.dist-info/licenses/LICENSE,sha256=F6Gi-ZJX5BlVzYK8R9NcvAkAsKa7KO29xB1OScbrH6Q,1526
+skfolio-0.9.1.dist-info/METADATA,sha256=139u03mcy89z6d922cjhRPNqr-Buh1NT4TIvPFX4sB0,22383
+skfolio-0.9.1.dist-info/WHEEL,sha256=Nw36Djuh_5VDukK0H78QzOX-_FQEo6V37m3nkm96gtU,91
+skfolio-0.9.1.dist-info/top_level.txt,sha256=NXEaoS9Ms7t32gxkb867nV0OKlU0KmssL7IJBVo0fJs,8
+skfolio-0.9.1.dist-info/RECORD,,

{skfolio-0.8.1.dist-info → skfolio-0.9.1.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (77.0.3)
+Generator: setuptools (80.7.1)
 Root-Is-Purelib: true
 Tag: py3-none-any