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CHANGELOG

v0.6.0 (2024-11-19)

Feature

  • feat(mean-risk): Cardinality and Threshold constraints (#102) (a4d8db5)

v0.5.2 (2024-11-17)

Chore

  • chore(docs): pin kaleido version to fix sphinx-build (#97) [skip-ci] (3a7184e)

Ci

  • ci: specify environment in docs flow (#99) (1efe4c8)

  • ci: Integrate JupyterLite into documentation site (#98) (c1d5bc0)

Documentation

  • docs: sync dep versions between readme and pyproject (#100) [skip ci] (dc5671f)

Fix

  • fix(datasets): Use CORS proxy to load remote datasets from browser (JupyterLite) (#101) (c7dc97e)

Unknown

  • v0.5.2 [skip ci]

Automatically generated by python-semantic-release (d3b8a8e)

v0.5.1 (2024-11-09)

Chore

  • chore(numpy): fix numpy DeprecationWarning (28a36ed)

Fix

  • fix(risk-budgeting): weight constraint validation fixed (21da12a)

Unknown

  • v0.5.1 [skip ci]

Automatically generated by python-semantic-release (a5a7579)

v0.5.0 (2024-11-04)

Feature

  • feat(pre-selection): Handle Incomplete Datasets, Inception, Expiry, Default, Delistings (#94)

  • SelectComplete and SelectNonExpiring transformers added

  • Incomplete Dataset example added (2bebfd2)

Unknown

  • v0.5.0 [skip ci]

Automatically generated by python-semantic-release (9b78127)

v0.4.3 (2024-10-24)

Chore

  • chore(readme): typo [skip ci] (d53a15b)

Fix

  • fix(herc): HERC weight constraint bug fixed using minimum relative weight deviation (5d24fc3)

Unknown

  • v0.4.3 [skip ci]

Automatically generated by python-semantic-release (777bf6c)

v0.4.2 (2024-10-06)

Fix

  • fix(optimization): linear_constraints now supports equality strings (7a738f3)

Unknown

  • v0.4.2 [skip ci]

Automatically generated by python-semantic-release (0cbbdcf)

v0.4.1 (2024-09-22)

Chore

  • chore(examples): Example for custom pre-selection with Volumes (3448281)

Fix

  • fix(pyproject): removing "numpy<2.0.0" following last cvxpy release (ba08925)

  • fix(combinatorial): added default type for compatibility with numpy 2.0.0 (ae45598)

Unknown

  • v0.4.1 [skip ci]

Automatically generated by python-semantic-release (0132dcb)

v0.4.0 (2024-09-15)

Breaking

  • feat(portfolio): contribution and plot_contribution implemented for MultiPeriodPortfolio

BREAKING CHANGE: contribution now returns a DataFrame as default. To return a numpy array, use to_df=False (0996fac)

  • fix(population): names and tags arguments

BREAKING CHANGE: names and tags arguments removed from all methods except for filter. Use chaining instead: population.filter(names=&#34;xxx&#34;, tags=&#34;yyy&#34;).plot_composition(). (a020c28)

Chore

  • chore(docstring): WalkForward example (0745b6a)

Feature

  • feat(walk-forward): possibility to split based on datetime periods and pandas offsets (f782275)

  • feat(walk-forward): possibility to split based on datetime periods and offsets (af386be)

  • feat(portfolio): weights_per_observation added (d0d3b33)

  • feat(population): contribution and plot_contribution added (128f619)

  • feat(population): rolling_measure and plot_rolling_measure added at the Population level (c75d34d)

Fix

  • fix(test): portfolio contribution (56947eb)

  • fix(portfolio): plot_contribution changed to stacked bars

For better readability and homogeneity with plot_composition (cd6e7c0)

  • fix(workflow): python-semantic-release version updated (f397565)

  • fix(pyproject): keeping major to 0.x.x after a breaking change (9b29180)

  • fix(docs): typo in measure docstring [skip ci] (17fd458)

  • fix(docs): typo in datasets docstring [skip ci] (c796630)

Unknown

  • v0.4.0 [skip ci]

Automatically generated by python-semantic-release (73c08ed)

  • Merge pull request #79 from skfolio/development

[ENH] WalkForward on specific dates - Rolling Measures - code enhancement (6b098fd)

v0.3.1 (2024-07-01)

Fix

  • fix(covariance): ImpliedCovariance param renamed to prior_covariance_estimator (1677bb4)

Unknown

  • v0.3.1 [skip ci]

Automatically generated by python-semantic-release (2969899)

v0.3.0 (2024-06-30)

Feature

  • feat(metadata-routing): metadata routing (#64)

  • feat(metadata-routing): metadata-routing added

  • feat(covariance): ImpliedCovariance added

  • feat(datasets): SP500 3 months ATM implied volatility dataset added

  • fix(covariance): argument nearest is now defaulted to True for improved usability and emits a warning when cov is not PD

  • fix(population): ensure plot index is sorted (a682f47)

Fix

  • fix(doc): typo in example filename (#62) [skip ci] (139ba0e)

Unknown

  • v0.3.0 [skip ci]

Automatically generated by python-semantic-release (b00f70f)

v0.2.3 (2024-06-20)

Fix

  • fix(pyproject): impose numpy < 2.0.0 until CVXPY is fully compatible with the new release (e02c172)

Unknown

  • v0.2.3 [skip ci]

Automatically generated by python-semantic-release (5a5bd93)

v0.2.2 (2024-06-04)

Fix

  • fix(cluster): compute_optimal_n_cluster now handles less then 8 assets (d9ed4a4)

  • fix(plotly): remove global pandas plot backend setting (4ff07c3)

  • fix(plotly): remove fix of create_dendrogram following new plotly release (2e712c8)

  • fix(pre-processing): param drop_inceptions_nan (75d8013)

  • fix(pre-processing): drop_interceptions_nan param added to prices_to_returns (#57)

Observations at the beginning are dropped if any of the asset values are missing, otherwise we keep the NaNs. (ba74842)

Unknown

  • v0.2.2 [skip ci]

Automatically generated by python-semantic-release (1bbf996)

v0.2.1 (2024-05-22)

Chore

  • chore(docs): Black & Litterman Factor model updated with deeply nested models (a5b038b)

  • chore(readme): BL views updated (b849570)

  • chore(doc): example link typo in user guide (d722814)

Fix

  • fix(test): nested Black & Litterman tests added (1188b2c)

  • fix(prior): Factor model updated with y propagation (8cbc5cc)

  • fix(prior): in BlackLitterman, y propagation was missing for embedded models (cc4adc1)

Unknown

  • v0.2.1 [skip ci]

Automatically generated by python-semantic-release (67a2a18)

v0.2.0 (2024-05-19)

Chore

  • chore(readme): Fix badge links and underscores in README.rst file [skip ci] (e4c4b65)

  • chore(readme): Fix badge links and underscores in README.rst file [skip ci] (1a17e2a)

  • chore(typing): replaced any by the Any type (#47) (d82c144)

Feature

  • feat(combinatorial): optimal_folds_number function for CombinatorialPurgedCV (#53) (ae83967)

Unknown

  • v0.2.0 [skip ci]

Automatically generated by python-semantic-release (52c8a16)

  • [BUG] Risk Free Rate (#50)

  • fix(optimization): risk_free_rate added to the default portfolio_params

  • fix(population): relax Population items to all inheritance of BasePortfolio (92666a8)

v0.1.3 (2024-03-13)

Chore

  • chore(docs): contributing.md ruff cmd [skip ci] (4982e27)

  • chore(formatter): replaced black formatter by ruff formatter (#37)

  • chore(ruff): removed duplicated rule.

  • chore(formatter): dropped black formatter.

  • ci(tests): added a format step to the tests job.

  • chore(ruff): fix line_length discrepancy.

  • chore(ruff): ignored redudant rules.

  • refactor(src): fix UP032.

  • style: one shot ruff formatting. (3ee55f4)

  • chore(ruff): updated ruff's pyproject conf (4e68a8b)

  • chore(docs): Bibtex entry corrected [skip ci] (1b0c881)

Fix

  • fix(ruff): file reformatting to pass ruff format (f7a34b5)

  • fix(datasets): move datasets to another repo (skfolio-datasets) (4b31e7d)

Unknown

  • v0.1.3 [skip ci]

Automatically generated by python-semantic-release (5e2d895)

  • Merge pull request #42 from skfolio/feature/no-issue/skfolio-datasets

[ENH] Move datasets to another repo (skfolio-datasets) (c10158b)

  • Merge pull request #35 from vacarme/chore/issue-34/update-ruff-conf [skip ci]

[MNT] Updated ruff's pyproject section. (db3c56d)

v0.1.2 (2024-02-05)

Chore

  • chore(docs): removed all-contributors [skip ci] (3b4dcf1)

  • chore(docs): typo in example [skip ci] (6e7cb36)

  • chore(docs): CONTRIBUTING.md improved [skip ci] (8955fed)

  • chore(docs): pip install in contributing.md [skip ci] (51a91b6)

Fix

  • fix(portfolio): add effective number of assets (f4dbc5f)

Unknown

  • v0.1.2 [skip ci]

Automatically generated by python-semantic-release (7ae2b4c)

  • Merge pull request #31 from skfolio/feature/issue-13/effective-number-assets

[ENH] Add effective number of assets (22f7b69)

v0.1.1 (2024-01-28)

Fix

  • fix(optimization): left_inequality and right_inequality converted to numpy array (18073ad)

Unknown

  • v0.1.1 [skip ci]

Automatically generated by python-semantic-release (1b312ac)

v0.1.0 (2024-01-25)

Chore

  • chore(docs): readme badge and logo improved [skip ci] (9c5238d)

Feature

  • feat(measure): effective number of assets [skip ci]

  • Implemented effective number of assets in the _measures as described in issue #13. Needs to review in the metrics enum.

  • Update src/skfolio/measures/_measures.py

Fixed docstring with proper references

Co-authored-by: Hugo Delatte <[email protected]>

Co-authored-by: carlo <[email protected]> Co-authored-by: Hugo Delatte <[email protected]> (62692ef)

Fix

  • fix(portfolio): len method removed and number of assets fixed (16205d5)

Unknown

  • v0.1.0 [skip ci]

Automatically generated by python-semantic-release (d0c3eb1)

  • Merge pull request #21 from skfolio/fix/issue-19/number-of-assets

[BUG] Number of Assets and Portfolio len (1c8b357)

v0.0.11 (2024-01-22)

Chore

  • chore(docs): codecov badge [skip ci] (b369e87)

  • chore(docs): add derivative work credits

  • chore(docs): add derivative work credits

  • chore(docs): add more derivative work credits

  • chore(docs): add author (c2fdd82)

  • chore(docs): fix typo [skip ci]

  • fix(typos): fix typos

  • docs: add @rriski as a contributor (e1e202a)

  • chore(readme): download badge [skip ci] (6dc7957)

Fix

  • fix(plotly): fix ruff in _dendrogram.py (0c2c59e)

  • fix(docs): ignore FutureWarnings in sphinx gallery examples (46db794)

  • fix(returns): pandas concat replaced by join (35f87b0)

  • fix(plotly): dendrogram fixes added (374154e)

  • fix(measure): default trading days in a year amended from 255 to 252 (796ed1e)

Unknown

  • v0.0.11 [skip ci]

Automatically generated by python-semantic-release (7f98efb)

  • Merge pull request #20 from skfolio/fix/issue-11/business-days-in-year

[BUG] Default trading days in a year amended from 255 to 252 (8334c7b)

  • Merge remote-tracking branch 'origin/main' into main (1adcdd3)

v0.0.10 (2024-01-17)

Chore

  • chore(readme): ruff and website badges [skip ci] (73e7c0e)

  • chore(docs): contributing [skip ci] (a1e79d3)

Fix

  • fix(population): lint noqa A003 not used [skip ci] (651a729)

Unknown

  • v0.0.10 [skip ci]

Automatically generated by python-semantic-release (6d32c44)

  • [BUG]: estimator nomenclature typo (#10)

  • fix: detoning typo

  • Update index.rst

  • fix: detoning (60cd559)

  • Merge remote-tracking branch 'origin/main' into main (29cef24)

v0.0.9 (2024-01-04)

Chore

  • chore(docs): readme updated [skip ci] (6272852)

Fix

  • fix(docs): jupyterlite replaced by binder (5b4cde3)

Unknown

  • v0.0.9 [skip ci]

Automatically generated by python-semantic-release (85e6836)

v0.0.8 (2024-01-03)

Chore

  • chore(docs): improved the docs [skip ci] (d05b661)

  • chore(docs): typo in docs [skip ci] (e8aed66)

  • chore(docs): readme update [skip ci] (23f5d5c)

  • chore(docs): readme update [skip ci] (de262c5)

  • chore(docs): readme update [skip ci] (9623272)

  • chore(docs): readme update [skip ci] (40d8bef)

  • chore(docs): contributing updated with branch name convention [skip ci] (b678be7)

  • chore(docs): code of conduct and security [skip ci] (06a5755)

Fix

  • fix(tests): test_portfolio_clear_cache fixed (f72562b)

  • fix(docs): docs and examples updated (0f5575e)

  • fix(tests): random weights removed [skip ci] (6fa39fd)

Unknown

  • v0.0.8 [skip ci]

Automatically generated by python-semantic-release (cb79de3)

  • Merge remote-tracking branch 'origin/main' into main (1db805a)

v0.0.7 (2023-12-27)

Chore

  • chore(docs): sitemap [skip ci] (011e043)

Fix

  • fix(workflow): [skip ci] workflow dependency success condition (c5a115e)

  • fix(docs): new domain and SEO (912b086)

Unknown

  • v0.0.7 [skip ci]

Automatically generated by python-semantic-release (97da2b1)

  • Merge remote-tracking branch 'origin/main' into main (634c85c)

v0.0.6 (2023-12-21)

Fix

  • fix(docs): doc theme and sidebar (2402e3a)

Unknown

  • v0.0.6 [skip ci]

Automatically generated by python-semantic-release (50cbed1)

  • Merge remote-tracking branch 'origin/main' into main (213fc48)

v0.0.5 (2023-12-20)

Fix

Unknown

  • v0.0.5 [skip ci]

Automatically generated by python-semantic-release (779fe50)

  • Merge remote-tracking branch 'origin/main' into main (32e7b61)

v0.0.4 (2023-12-20)

Fix

  • fix(workflow): test semantic release app (73612c2)

  • fix(workflow): test semantic release app (4b5cf7f)

  • fix(workflow): test semantic release app (fb2fd87)

  • fix(workflow): test semantic release app (cc5a2a9)

  • fix(workflow): test semantic release app (709283f)

  • fix(docs): readme (1f5e86f)

Unknown

  • v0.0.4 [skip ci]

Automatically generated by python-semantic-release (0017226)

  • Merge remote-tracking branch 'origin/main' into main (b48c870)

v0.0.3 (2023-12-18)

Chore

  • chore(workflow): template, contributors (c6fe6ed)

  • chore(docs): docs workflow run (49d6069)

Fix

  • fix(workflow): release to pypi (4e7f722)

Unknown

  • 0.0.3 [skip ci]

Automatically generated by python-semantic-release (233bd41)

  • Merge remote-tracking branch 'origin/main' into main (9c75a05)

v0.0.2 (2023-12-18)

Chore

  • chore(docs): docs workflow on push (6d9eb09)

  • chore(docs): docs workflow (edfeb41)

  • chore(workflow): coverage report (f52ee96)

Fix

  • fix(tests): linux dataset path PermissionError (82017fe)

  • fix(dataset): download dataset from github (2f0ff50)

  • fix(convex): solver changed from ECOS/ECS to CLARABEL (1f05907)

Unknown

  • 0.0.2 [skip ci]

Automatically generated by python-semantic-release (ba12c8d)

v0.0.1 (2023-12-17)

Unknown