PyPI - skfolio - Versions diffs - 0.9.0__tar.gz → 0.9.1__tar.gz - Mend

@@ -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

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

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 [project]
 name = "skfolio"
-version = "0.9.0"
+version = "0.9.1"
 maintainers = [
     { name = "Hugo Delatte", email = "delatte.hugo@gmail.com" },
     { name = "Matteo Manzi", email = "matteomanzi09@gmail.com" }

@@ -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

@@ -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")

@@ -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 0.9.0__tar.gz → 0.9.1__tar.gz

skfolio 0.9.0tar.gz → 0.9.1tar.gz