# API Reference This is the class and function reference of `skfolio`. Please refer to the [full user guide](https://skfolio.org/user_guide/index.html.md#user-guide) for further details, as the class and function raw specifications may not be enough to give full guidelines on their uses. ## [`skfolio.measures`](#module-skfolio.measures): Measures Module that includes all Measures functions used across `skfolio`. ### Base Class | [`measures.BaseMeasure`](https://skfolio.org/generated/skfolio.measures.BaseMeasure.html.md#skfolio.measures.BaseMeasure) | Base Enum of measures. | |------------------------------------------------------------------------------------------------------|--------------------------| ### Classes | [`measures.PerfMeasure`](https://skfolio.org/generated/skfolio.measures.PerfMeasure.html.md#skfolio.measures.PerfMeasure) | Enumeration of performance measures. | |--------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------| | [`measures.RiskMeasure`](https://skfolio.org/generated/skfolio.measures.RiskMeasure.html.md#skfolio.measures.RiskMeasure) | Enumeration of risk measures. | | [`measures.ExtraRiskMeasure`](https://skfolio.org/generated/skfolio.measures.ExtraRiskMeasure.html.md#skfolio.measures.ExtraRiskMeasure) | Enumeration of other risk measures not used in convex optimization. | | [`measures.RatioMeasure`](https://skfolio.org/generated/skfolio.measures.RatioMeasure.html.md#skfolio.measures.RatioMeasure) | Enumeration of ratio measures. | ### Functions | [`measures.mean`](https://skfolio.org/generated/skfolio.measures.mean.html.md#skfolio.measures.mean)(returns[, sample_weight]) | Compute the mean. | |---------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------| | [`measures.get_cumulative_returns`](https://skfolio.org/generated/skfolio.measures.get_cumulative_returns.html.md#skfolio.measures.get_cumulative_returns)(returns[, ...]) | Compute the cumulative returns from a series of returns. | | [`measures.get_drawdowns`](https://skfolio.org/generated/skfolio.measures.get_drawdowns.html.md#skfolio.measures.get_drawdowns)(returns[, compounded]) | Compute the drawdowns' series from the returns. | | [`measures.variance`](https://skfolio.org/generated/skfolio.measures.variance.html.md#skfolio.measures.variance)(returns[, biased, ...]) | Compute the variance (second moment). | | [`measures.semi_variance`](https://skfolio.org/generated/skfolio.measures.semi_variance.html.md#skfolio.measures.semi_variance)(returns[, ...]) | Compute the semi-variance (second lower partial moment). | | [`measures.standard_deviation`](https://skfolio.org/generated/skfolio.measures.standard_deviation.html.md#skfolio.measures.standard_deviation)(returns[, ...]) | Compute the standard-deviation (square root of the second moment). | | [`measures.semi_deviation`](https://skfolio.org/generated/skfolio.measures.semi_deviation.html.md#skfolio.measures.semi_deviation)(returns[, ...]) | Compute the semi-deviation (square root of the second lower partial moment). | | [`measures.third_central_moment`](https://skfolio.org/generated/skfolio.measures.third_central_moment.html.md#skfolio.measures.third_central_moment)(returns[, ...]) | Compute the third central moment. | | [`measures.fourth_central_moment`](https://skfolio.org/generated/skfolio.measures.fourth_central_moment.html.md#skfolio.measures.fourth_central_moment)(returns[, ...]) | Compute the Fourth central moment. | | [`measures.fourth_lower_partial_moment`](https://skfolio.org/generated/skfolio.measures.fourth_lower_partial_moment.html.md#skfolio.measures.fourth_lower_partial_moment)(returns) | Compute the fourth lower partial moment. | | [`measures.skew`](https://skfolio.org/generated/skfolio.measures.skew.html.md#skfolio.measures.skew)(returns[, sample_weight]) | Compute the Skew. | | [`measures.kurtosis`](https://skfolio.org/generated/skfolio.measures.kurtosis.html.md#skfolio.measures.kurtosis)(returns[, sample_weight]) | Compute the Kurtosis. | | [`measures.cvar`](https://skfolio.org/generated/skfolio.measures.cvar.html.md#skfolio.measures.cvar)(returns[, beta, sample_weight]) | Compute the historical CVaR (conditional value at risk). | | [`measures.mean_absolute_deviation`](https://skfolio.org/generated/skfolio.measures.mean_absolute_deviation.html.md#skfolio.measures.mean_absolute_deviation)(returns[, ...]) | Compute the mean absolute deviation (MAD). | | [`measures.value_at_risk`](https://skfolio.org/generated/skfolio.measures.value_at_risk.html.md#skfolio.measures.value_at_risk)(returns[, beta, ...]) | Compute the historical value at risk (VaR). | | [`measures.worst_realization`](https://skfolio.org/generated/skfolio.measures.worst_realization.html.md#skfolio.measures.worst_realization)(returns) | Compute the worst realization (worst return). | | [`measures.first_lower_partial_moment`](https://skfolio.org/generated/skfolio.measures.first_lower_partial_moment.html.md#skfolio.measures.first_lower_partial_moment)(returns) | Compute the first lower partial moment. | | [`measures.entropic_risk_measure`](https://skfolio.org/generated/skfolio.measures.entropic_risk_measure.html.md#skfolio.measures.entropic_risk_measure)(returns[, ...]) | Compute the entropic risk measure. | | [`measures.evar`](https://skfolio.org/generated/skfolio.measures.evar.html.md#skfolio.measures.evar)(returns[, beta]) | Compute the EVaR (entropic value at risk) and its associated risk aversion. | | [`measures.drawdown_at_risk`](https://skfolio.org/generated/skfolio.measures.drawdown_at_risk.html.md#skfolio.measures.drawdown_at_risk)(drawdowns[, beta]) | Compute the Drawdown at risk. | | [`measures.cdar`](https://skfolio.org/generated/skfolio.measures.cdar.html.md#skfolio.measures.cdar)(drawdowns[, beta]) | Compute the historical CDaR (conditional drawdown at risk). | | [`measures.max_drawdown`](https://skfolio.org/generated/skfolio.measures.max_drawdown.html.md#skfolio.measures.max_drawdown)(drawdowns) | Compute the maximum drawdown. | | [`measures.average_drawdown`](https://skfolio.org/generated/skfolio.measures.average_drawdown.html.md#skfolio.measures.average_drawdown)(drawdowns) | Compute the average drawdown. | | [`measures.edar`](https://skfolio.org/generated/skfolio.measures.edar.html.md#skfolio.measures.edar)(drawdowns[, beta]) | Compute the EDaR (entropic drawdown at risk). | | [`measures.ulcer_index`](https://skfolio.org/generated/skfolio.measures.ulcer_index.html.md#skfolio.measures.ulcer_index)(drawdowns) | Compute the Ulcer index. | | [`measures.gini_mean_difference`](https://skfolio.org/generated/skfolio.measures.gini_mean_difference.html.md#skfolio.measures.gini_mean_difference)(returns) | Compute the Gini mean difference (GMD). | | [`measures.owa_gmd_weights`](https://skfolio.org/generated/skfolio.measures.owa_gmd_weights.html.md#skfolio.measures.owa_gmd_weights)(n_observations) | Compute the OWA weights used for the Gini mean difference (GMD) computation. | | [`measures.effective_number_assets`](https://skfolio.org/generated/skfolio.measures.effective_number_assets.html.md#skfolio.measures.effective_number_assets)(weights) | Compute the effective number of assets, defined as the inverse of the Herfindahl index. | | [`measures.correlation`](https://skfolio.org/generated/skfolio.measures.correlation.html.md#skfolio.measures.correlation)(X[, sample_weight]) | Compute the correlation matrix. | ## [`skfolio.portfolio`](#module-skfolio.portfolio): Portfolio Portfolio module. `Portfolio` and `MultiPeriodPortfolio` objects are returned by the `predict` method of Optimization estimators. They must be consistent with the convex optimization problems, meaning that `Portfolio` is the dot product of the assets weights with the assets returns and `MultiPeriodPortfolio` is a list of `Portfolio`. ### Base Class | [`portfolio.BasePortfolio`](https://skfolio.org/generated/skfolio.portfolio.BasePortfolio.html.md#skfolio.portfolio.BasePortfolio) | Base Portfolio class for all portfolios in skfolio. | |------------------------------------------------------------------------------------------------------------|-------------------------------------------------------| ### Classes | [`portfolio.Portfolio`](https://skfolio.org/generated/skfolio.portfolio.Portfolio.html.md#skfolio.portfolio.Portfolio) | Portfolio class. | |------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------| | [`portfolio.FailedPortfolio`](https://skfolio.org/generated/skfolio.portfolio.FailedPortfolio.html.md#skfolio.portfolio.FailedPortfolio) | Portfolio object returned when an optimization step fails. | | [`portfolio.MultiPeriodPortfolio`](https://skfolio.org/generated/skfolio.portfolio.MultiPeriodPortfolio.html.md#skfolio.portfolio.MultiPeriodPortfolio) | Multi-Period Portfolio class. | ## [`skfolio.population`](#module-skfolio.population): Population Population module. ### Classes | [`population.Population`](https://skfolio.org/generated/skfolio.population.Population.html.md#skfolio.population.Population) | Population Class. | |--------------------------------------------------------------------------------------------------------|---------------------| ## [`skfolio.containers`](#module-skfolio.containers): Containers Containers module. ### Classes | [`containers.AssetPanel`](https://skfolio.org/generated/skfolio.containers.AssetPanel.html.md#skfolio.containers.AssetPanel) | Container for aligned cross-sectional asset data. | |--------------------------------------------------------------------------------------------------------------|-----------------------------------------------------| | [`containers.AssetPanelView`](https://skfolio.org/generated/skfolio.containers.AssetPanelView.html.md#skfolio.containers.AssetPanelView) | Observation-sliced view into an `AssetPanel`. | ### Field Base Class | [`containers.BaseField`](https://skfolio.org/generated/skfolio.containers.BaseField.html.md#skfolio.containers.BaseField) | Base class for fields stored in an `AssetPanel`. | |------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------| | [`containers.Field2D`](https://skfolio.org/generated/skfolio.containers.Field2D.html.md#skfolio.containers.Field2D) | Numeric 2D field with axes (observations, assets). | | [`containers.Field3D`](https://skfolio.org/generated/skfolio.containers.Field3D.html.md#skfolio.containers.Field3D) | Numeric 3D field with axes (observations, assets, third_axis). | | [`containers.FieldCategorical`](https://skfolio.org/generated/skfolio.containers.FieldCategorical.html.md#skfolio.containers.FieldCategorical) | Integer-coded categorical 2D field. | ### Enum | [`containers.InactivePolicy`](https://skfolio.org/generated/skfolio.containers.InactivePolicy.html.md#skfolio.containers.InactivePolicy) | Validation policy for values outside an `AssetPanel` active universe. | |----------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------| ### Functions | [`containers.concat`](https://skfolio.org/generated/skfolio.containers.concat.html.md#skfolio.containers.concat)(panels, \*[, ...]) | Concatenate panels along the observation axis. | |-------------------------------------------------------------------------------------------------------------------|--------------------------------------------------| ## [`skfolio.base`](#module-skfolio.base): Base Estimators Base classes for all estimators and various utility functions. ### Classes | [`base.BaseAssetPanelTransformer`](https://skfolio.org/generated/skfolio.base.BaseAssetPanelTransformer.html.md#skfolio.base.BaseAssetPanelTransformer) | Base class for estimators that transform asset panel data. | |--------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------------| | [`base.BaseComposition`](https://skfolio.org/generated/skfolio.base.BaseComposition.html.md#skfolio.base.BaseComposition) | Handles parameter management for ensemble estimators. | ## `skfolio.optimization.base`: Base Optimization Estimator Optimization module. ### Classes | [`optimization.BaseOptimization`](https://skfolio.org/generated/skfolio.optimization.BaseOptimization.html.md#skfolio.optimization.BaseOptimization) | Base class for all portfolio optimizations in skfolio. | |------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------| ## [`skfolio.optimization.naive`](#module-skfolio.optimization.naive): Naive Optimization Estimators Naive Optimization module. ### Classes | [`optimization.EqualWeighted`](https://skfolio.org/generated/skfolio.optimization.EqualWeighted.html.md#skfolio.optimization.EqualWeighted) | Equally Weighted estimator. | |------------------------------------------------------------------------------------------------------------------------|-------------------------------| | [`optimization.InverseVolatility`](https://skfolio.org/generated/skfolio.optimization.InverseVolatility.html.md#skfolio.optimization.InverseVolatility) | Inverse Volatility estimator. | | [`optimization.Random`](https://skfolio.org/generated/skfolio.optimization.Random.html.md#skfolio.optimization.Random) | Random weight estimator. | ## [`skfolio.optimization.convex`](#module-skfolio.optimization.convex): Convex Optimization Estimators Convex Optimization module. ### Enum | [`optimization.ObjectiveFunction`](https://skfolio.org/generated/skfolio.optimization.ObjectiveFunction.html.md#skfolio.optimization.ObjectiveFunction) | Enumeration of objective functions. | |--------------------------------------------------------------------------------------------------------------------------|---------------------------------------| ### Classes | [`optimization.ConvexOptimization`](https://skfolio.org/generated/skfolio.optimization.ConvexOptimization.html.md#skfolio.optimization.ConvexOptimization) | Base class for all convex optimization estimators in skfolio. | |------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------| | [`optimization.MeanRisk`](https://skfolio.org/generated/skfolio.optimization.MeanRisk.html.md#skfolio.optimization.MeanRisk) | Mean-Risk Optimization estimator. | | [`optimization.BenchmarkTracker`](https://skfolio.org/generated/skfolio.optimization.BenchmarkTracker.html.md#skfolio.optimization.BenchmarkTracker) | Benchmark Tracker Optimization estimator. | | [`optimization.RiskBudgeting`](https://skfolio.org/generated/skfolio.optimization.RiskBudgeting.html.md#skfolio.optimization.RiskBudgeting) | Risk Budgeting Optimization estimator. | | [`optimization.MaximumDiversification`](https://skfolio.org/generated/skfolio.optimization.MaximumDiversification.html.md#skfolio.optimization.MaximumDiversification) | Maximum Diversification Optimization estimator. | | [`optimization.DistributionallyRobustCVaR`](https://skfolio.org/generated/skfolio.optimization.DistributionallyRobustCVaR.html.md#skfolio.optimization.DistributionallyRobustCVaR) | Distributionally Robust CVaR. | ## [`skfolio.optimization.cluster`](#module-skfolio.optimization.cluster): Clustering Optimization Estimators Cluster Optimization module. ### Classes | [`optimization.BaseHierarchicalOptimization`](https://skfolio.org/generated/skfolio.optimization.BaseHierarchicalOptimization.html.md#skfolio.optimization.BaseHierarchicalOptimization) | Base Hierarchical Clustering Optimization estimator. | |--------------------------------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------| | [`optimization.HierarchicalRiskParity`](https://skfolio.org/generated/skfolio.optimization.HierarchicalRiskParity.html.md#skfolio.optimization.HierarchicalRiskParity) | Hierarchical Risk Parity estimator. | | [`optimization.HierarchicalEqualRiskContribution`](https://skfolio.org/generated/skfolio.optimization.HierarchicalEqualRiskContribution.html.md#skfolio.optimization.HierarchicalEqualRiskContribution) | Hierarchical Equal Risk Contribution estimator. | | [`optimization.SchurComplementary`](https://skfolio.org/generated/skfolio.optimization.SchurComplementary.html.md#skfolio.optimization.SchurComplementary) | Schur Complementary Allocation estimator. | | [`optimization.NestedClustersOptimization`](https://skfolio.org/generated/skfolio.optimization.NestedClustersOptimization.html.md#skfolio.optimization.NestedClustersOptimization) | Nested Clusters Optimization estimator. | ## [`skfolio.optimization.ensemble`](#module-skfolio.optimization.ensemble): Ensemble Optimization Estimators Ensemble Optimization module. ### Classes | [`optimization.StackingOptimization`](https://skfolio.org/generated/skfolio.optimization.StackingOptimization.html.md#skfolio.optimization.StackingOptimization) | Stack of optimizations with a final optimization. | |--------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------| ## [`skfolio.prior`](#module-skfolio.prior): Prior Estimators Prior module. ### Model Dataclass | [`prior.ReturnDistribution`](https://skfolio.org/generated/skfolio.prior.ReturnDistribution.html.md#skfolio.prior.ReturnDistribution) | Return distribution estimated by a prior estimator. | |--------------------------------------------------------------------------------------------------------------|----------------------------------------------------------| | [`prior.FactorModel`](https://skfolio.org/generated/skfolio.prior.FactorModel.html.md#skfolio.prior.FactorModel) | Factor model decomposition of asset returns. | | [`prior.CovarianceSqrt`](https://skfolio.org/generated/skfolio.prior.CovarianceSqrt.html.md#skfolio.prior.CovarianceSqrt) | Matrix square root decomposition of a covariance matrix. | ### Base Class | [`prior.BasePrior`](https://skfolio.org/generated/skfolio.prior.BasePrior.html.md#skfolio.prior.BasePrior) | Base class for all prior estimators in skfolio. | |--------------------------------------------------------------------------------------------|---------------------------------------------------| ### Classes | [`prior.EmpiricalPrior`](https://skfolio.org/generated/skfolio.prior.EmpiricalPrior.html.md#skfolio.prior.EmpiricalPrior) | Empirical Prior estimator. | |----------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------| | [`prior.BlackLitterman`](https://skfolio.org/generated/skfolio.prior.BlackLitterman.html.md#skfolio.prior.BlackLitterman) | Black & Litterman estimator. | | [`prior.TimeSeriesFactorModel`](https://skfolio.org/generated/skfolio.prior.TimeSeriesFactorModel.html.md#skfolio.prior.TimeSeriesFactorModel) | Time-series factor model estimator. | | [`prior.CharacteristicsFactorModel`](https://skfolio.org/generated/skfolio.prior.CharacteristicsFactorModel.html.md#skfolio.prior.CharacteristicsFactorModel) | Characteristics-based cross-sectional factor model. | | [`prior.SyntheticData`](https://skfolio.org/generated/skfolio.prior.SyntheticData.html.md#skfolio.prior.SyntheticData) | Synthetic Data Estimator. | | [`prior.EntropyPooling`](https://skfolio.org/generated/skfolio.prior.EntropyPooling.html.md#skfolio.prior.EntropyPooling) | Entropy Pooling estimator. | | [`prior.OpinionPooling`](https://skfolio.org/generated/skfolio.prior.OpinionPooling.html.md#skfolio.prior.OpinionPooling) | Opinion Pooling estimator. | ### Loading Matrix Classes for Factor Models | [`prior.BaseLoadingMatrix`](https://skfolio.org/generated/skfolio.prior.BaseLoadingMatrix.html.md#skfolio.prior.BaseLoadingMatrix) | Base class for all Loading Matrix estimators. | |----------------------------------------------------------------------------------------------------------------------|-------------------------------------------------| | [`prior.LoadingMatrixRegression`](https://skfolio.org/generated/skfolio.prior.LoadingMatrixRegression.html.md#skfolio.prior.LoadingMatrixRegression) | Loading Matrix Regression estimator. | ## Factor Model Components Descriptors that map `AssetPanel` columns to factor characteristics. ### Descriptor Base Classes | [`descriptor.BaseDescriptor`](https://skfolio.org/generated/skfolio.descriptor.BaseDescriptor.html.md#skfolio.descriptor.BaseDescriptor) | Base class for all descriptor transformers. | |----------------------------------------------------------------------------------------------------------------|-----------------------------------------------| ### Descriptors | [`descriptor.AccrualsCashFlow`](https://skfolio.org/generated/skfolio.descriptor.AccrualsCashFlow.html.md#skfolio.descriptor.AccrualsCashFlow) | Cash-flow statement accruals descriptor. | |----------------------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------| | [`descriptor.AnalystDispersionToPrice`](https://skfolio.org/generated/skfolio.descriptor.AnalystDispersionToPrice.html.md#skfolio.descriptor.AnalystDispersionToPrice) | Analyst forecast dispersion to price descriptor. | | [`descriptor.AssetTurnover`](https://skfolio.org/generated/skfolio.descriptor.AssetTurnover.html.md#skfolio.descriptor.AssetTurnover) | Asset turnover descriptor. | | [`descriptor.AssetsGrowthRate`](https://skfolio.org/generated/skfolio.descriptor.AssetsGrowthRate.html.md#skfolio.descriptor.AssetsGrowthRate) | Asset growth rate descriptor. | | [`descriptor.BookLeverage`](https://skfolio.org/generated/skfolio.descriptor.BookLeverage.html.md#skfolio.descriptor.BookLeverage) | Book leverage descriptor. | | [`descriptor.BookToPrice`](https://skfolio.org/generated/skfolio.descriptor.BookToPrice.html.md#skfolio.descriptor.BookToPrice) | Book-to-price ratio descriptor. | | [`descriptor.CapexToAssetsChangeInIntensity`](https://skfolio.org/generated/skfolio.descriptor.CapexToAssetsChangeInIntensity.html.md#skfolio.descriptor.CapexToAssetsChangeInIntensity) | Lagged change in capex-to-assets intensity. | | [`descriptor.CashFlowToAssets`](https://skfolio.org/generated/skfolio.descriptor.CashFlowToAssets.html.md#skfolio.descriptor.CashFlowToAssets) | Cash flow to assets descriptor. | | [`descriptor.CashFlowToPrice`](https://skfolio.org/generated/skfolio.descriptor.CashFlowToPrice.html.md#skfolio.descriptor.CashFlowToPrice) | Cash-flow-to-price ratio descriptor. | | [`descriptor.ChangeInIntensity`](https://skfolio.org/generated/skfolio.descriptor.ChangeInIntensity.html.md#skfolio.descriptor.ChangeInIntensity) | Lagged change in a field-to-scale ratio. | | [`descriptor.ChangeToScale`](https://skfolio.org/generated/skfolio.descriptor.ChangeToScale.html.md#skfolio.descriptor.ChangeToScale) | Lagged change normalized by a positive scale. | | [`descriptor.DaysToCover`](https://skfolio.org/generated/skfolio.descriptor.DaysToCover.html.md#skfolio.descriptor.DaysToCover) | Exponentially weighted days-to-cover descriptor. | | [`descriptor.DebtToAssets`](https://skfolio.org/generated/skfolio.descriptor.DebtToAssets.html.md#skfolio.descriptor.DebtToAssets) | Debt-to-assets ratio descriptor. | | [`descriptor.DividendToPrice`](https://skfolio.org/generated/skfolio.descriptor.DividendToPrice.html.md#skfolio.descriptor.DividendToPrice) | Dividend-to-price ratio descriptor. | | [`descriptor.EWAmihudIlliquidity`](https://skfolio.org/generated/skfolio.descriptor.EWAmihudIlliquidity.html.md#skfolio.descriptor.EWAmihudIlliquidity) | Exponentially weighted Amihud illiquidity descriptor. | | [`descriptor.EWDownsideBeta`](https://skfolio.org/generated/skfolio.descriptor.EWDownsideBeta.html.md#skfolio.descriptor.EWDownsideBeta) | Exponentially weighted downside beta descriptor. | | [`descriptor.EWDownsideVolatility`](https://skfolio.org/generated/skfolio.descriptor.EWDownsideVolatility.html.md#skfolio.descriptor.EWDownsideVolatility) | Exponentially weighted downside return volatility descriptor. | | [`descriptor.EWMacroSensitivity`](https://skfolio.org/generated/skfolio.descriptor.EWMacroSensitivity.html.md#skfolio.descriptor.EWMacroSensitivity) | EWMA macro sensitivity after removing market exposure. | | [`descriptor.EWMarketBeta`](https://skfolio.org/generated/skfolio.descriptor.EWMarketBeta.html.md#skfolio.descriptor.EWMarketBeta) | Exponentially weighted market beta descriptor. | | [`descriptor.EWMomentum`](https://skfolio.org/generated/skfolio.descriptor.EWMomentum.html.md#skfolio.descriptor.EWMomentum) | Exponentially weighted momentum descriptor. | | [`descriptor.EWResidualDownsideVolatility`](https://skfolio.org/generated/skfolio.descriptor.EWResidualDownsideVolatility.html.md#skfolio.descriptor.EWResidualDownsideVolatility) | Exponentially weighted downside CAPM residual volatility descriptor. | | [`descriptor.EWResidualVolatility`](https://skfolio.org/generated/skfolio.descriptor.EWResidualVolatility.html.md#skfolio.descriptor.EWResidualVolatility) | Exponentially weighted CAPM residual volatility descriptor. | | [`descriptor.EWShareTurnover`](https://skfolio.org/generated/skfolio.descriptor.EWShareTurnover.html.md#skfolio.descriptor.EWShareTurnover) | Exponentially weighted share turnover descriptor. | | [`descriptor.EWVolatility`](https://skfolio.org/generated/skfolio.descriptor.EWVolatility.html.md#skfolio.descriptor.EWVolatility) | Exponentially weighted volatility descriptor. | | [`descriptor.EarningsChangeToPrice`](https://skfolio.org/generated/skfolio.descriptor.EarningsChangeToPrice.html.md#skfolio.descriptor.EarningsChangeToPrice) | Lagged earnings change divided by current market capitalization. | | [`descriptor.EarningsToPrice`](https://skfolio.org/generated/skfolio.descriptor.EarningsToPrice.html.md#skfolio.descriptor.EarningsToPrice) | Earnings-to-price ratio descriptor. | | [`descriptor.EbitdaToEnterpriseValue`](https://skfolio.org/generated/skfolio.descriptor.EbitdaToEnterpriseValue.html.md#skfolio.descriptor.EbitdaToEnterpriseValue) | EBITDA-to-enterprise-value ratio descriptor. | | [`descriptor.ForwardDividendToPrice`](https://skfolio.org/generated/skfolio.descriptor.ForwardDividendToPrice.html.md#skfolio.descriptor.ForwardDividendToPrice) | Forward dividend-to-price ratio descriptor. | | [`descriptor.ForwardEarningsToPrice`](https://skfolio.org/generated/skfolio.descriptor.ForwardEarningsToPrice.html.md#skfolio.descriptor.ForwardEarningsToPrice) | Forward earnings-to-price ratio descriptor. | | [`descriptor.GrossMargin`](https://skfolio.org/generated/skfolio.descriptor.GrossMargin.html.md#skfolio.descriptor.GrossMargin) | Gross margin descriptor. | | [`descriptor.GrossProfitability`](https://skfolio.org/generated/skfolio.descriptor.GrossProfitability.html.md#skfolio.descriptor.GrossProfitability) | Gross profitability descriptor. | | [`descriptor.GrowthRate`](https://skfolio.org/generated/skfolio.descriptor.GrowthRate.html.md#skfolio.descriptor.GrowthRate) | Period-over-period growth rate descriptor. | | [`descriptor.IssuanceGrowthRate`](https://skfolio.org/generated/skfolio.descriptor.IssuanceGrowthRate.html.md#skfolio.descriptor.IssuanceGrowthRate) | Issuance growth rate descriptor. | | [`descriptor.LogMarketCap`](https://skfolio.org/generated/skfolio.descriptor.LogMarketCap.html.md#skfolio.descriptor.LogMarketCap) | Log market capitalization descriptor. | | [`descriptor.MarketLeverage`](https://skfolio.org/generated/skfolio.descriptor.MarketLeverage.html.md#skfolio.descriptor.MarketLeverage) | Market leverage descriptor. | | [`descriptor.MaxReturn`](https://skfolio.org/generated/skfolio.descriptor.MaxReturn.html.md#skfolio.descriptor.MaxReturn) | Maximum return over a trailing window. | | [`descriptor.Passthrough`](https://skfolio.org/generated/skfolio.descriptor.Passthrough.html.md#skfolio.descriptor.Passthrough) | Passthrough descriptor for an [`AssetPanel`](https://skfolio.org/generated/skfolio.containers.AssetPanel.html.md#skfolio.containers.AssetPanel) field. | | [`descriptor.ReturnOnAssets`](https://skfolio.org/generated/skfolio.descriptor.ReturnOnAssets.html.md#skfolio.descriptor.ReturnOnAssets) | Return on assets (ROA) descriptor. | | [`descriptor.ReturnOnEquity`](https://skfolio.org/generated/skfolio.descriptor.ReturnOnEquity.html.md#skfolio.descriptor.ReturnOnEquity) | Return on equity (ROE) descriptor. | | [`descriptor.Reversal`](https://skfolio.org/generated/skfolio.descriptor.Reversal.html.md#skfolio.descriptor.Reversal) | Fixed-window short-term reversal descriptor. | | [`descriptor.RollingMomentum`](https://skfolio.org/generated/skfolio.descriptor.RollingMomentum.html.md#skfolio.descriptor.RollingMomentum) | Fixed-window momentum descriptor. | | [`descriptor.SalesGrowthRate`](https://skfolio.org/generated/skfolio.descriptor.SalesGrowthRate.html.md#skfolio.descriptor.SalesGrowthRate) | Sales growth rate descriptor. | | [`descriptor.SalesToEnterpriseValue`](https://skfolio.org/generated/skfolio.descriptor.SalesToEnterpriseValue.html.md#skfolio.descriptor.SalesToEnterpriseValue) | Sales to enterprise value descriptor. | | [`descriptor.SalesToPrice`](https://skfolio.org/generated/skfolio.descriptor.SalesToPrice.html.md#skfolio.descriptor.SalesToPrice) | Sales-to-price ratio descriptor. | | [`descriptor.ShareholderYield`](https://skfolio.org/generated/skfolio.descriptor.ShareholderYield.html.md#skfolio.descriptor.ShareholderYield) | Shareholder yield descriptor. | | [`descriptor.ShortInterest`](https://skfolio.org/generated/skfolio.descriptor.ShortInterest.html.md#skfolio.descriptor.ShortInterest) | Short interest descriptor. | Factor exposure transformers. ### Factor Exposure Estimators | [`factor_exposure.BaseFactorExposure`](https://skfolio.org/generated/skfolio.factor_exposure.BaseFactorExposure.html.md#skfolio.factor_exposure.BaseFactorExposure) | Base class for factor exposure estimators. | |--------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------| | [`factor_exposure.DerivedFactor`](https://skfolio.org/generated/skfolio.factor_exposure.DerivedFactor.html.md#skfolio.factor_exposure.DerivedFactor) | Factor exposure derived from another factor's computed exposure. | | [`factor_exposure.FixedWeightedFactor`](https://skfolio.org/generated/skfolio.factor_exposure.FixedWeightedFactor.html.md#skfolio.factor_exposure.FixedWeightedFactor) | Factor exposure as a fixed weighted combination of descriptors. | | [`factor_exposure.GlobalFactor`](https://skfolio.org/generated/skfolio.factor_exposure.GlobalFactor.html.md#skfolio.factor_exposure.GlobalFactor) | Constant factor exposure equal to one for every asset. | | [`factor_exposure.OneHotCategoricalFactors`](https://skfolio.org/generated/skfolio.factor_exposure.OneHotCategoricalFactors.html.md#skfolio.factor_exposure.OneHotCategoricalFactors) | One-hot factor exposures from a categorical field. | Alpha models for factor-model score construction. ### Alpha Estimators | [`alpha.BaseAlpha`](https://skfolio.org/generated/skfolio.alpha.BaseAlpha.html.md#skfolio.alpha.BaseAlpha) | Base class for all Alpha estimators in skfolio. | |----------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------------| | [`alpha.EWSharpeOptimalAlpha`](https://skfolio.org/generated/skfolio.alpha.EWSharpeOptimalAlpha.html.md#skfolio.alpha.EWSharpeOptimalAlpha) | Exponentially weighted least-squares Sharpe-optimal alpha estimator. | | [`alpha.FixedWeightedAlpha`](https://skfolio.org/generated/skfolio.alpha.FixedWeightedAlpha.html.md#skfolio.alpha.FixedWeightedAlpha) | Fixed-weighted descriptor alpha estimator. | | [`alpha.PredictorAlpha`](https://skfolio.org/generated/skfolio.alpha.PredictorAlpha.html.md#skfolio.alpha.PredictorAlpha) | Predictor alpha estimator using a user-provided regressor. | ### Alpha Evaluation | [`alpha.AlphaForecastComparison`](https://skfolio.org/generated/skfolio.alpha.AlphaForecastComparison.html.md#skfolio.alpha.AlphaForecastComparison) | Side-by-side comparison of alpha forecast evaluations. | |------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------| | [`alpha.AlphaForecastEvaluation`](https://skfolio.org/generated/skfolio.alpha.AlphaForecastEvaluation.html.md#skfolio.alpha.AlphaForecastEvaluation) | Out-of-sample alpha forecast evaluation. | ### Functions | [`alpha.alpha_forecast_evaluation`](https://skfolio.org/generated/skfolio.alpha.alpha_forecast_evaluation.html.md#skfolio.alpha.alpha_forecast_evaluation)(estimator, X, \*) | Evaluate alpha forecast quality. | |----------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------| ### Enum | [`alpha.ForecastUnit`](https://skfolio.org/generated/skfolio.alpha.ForecastUnit.html.md#skfolio.alpha.ForecastUnit) | Unit of the intermediate alpha forecast. | |----------------------------------------------------------------------------------------------------------------------|--------------------------------------------| | [`utils.stats.CSWeighting`](https://skfolio.org/generated/skfolio.utils.stats.CSWeighting.html.md#skfolio.utils.stats.CSWeighting) | Cross-sectional weighting. | | [`utils.stats.CorrelationMethod`](https://skfolio.org/generated/skfolio.utils.stats.CorrelationMethod.html.md#skfolio.utils.stats.CorrelationMethod) | Correlation method. | Factor-based volatility and return attribution. ### Attribution | [`attribution.Attribution`](https://skfolio.org/generated/skfolio.attribution.Attribution.html.md#skfolio.attribution.Attribution) | Factor attribution result. | |--------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------| | [`attribution.AssetBreakdown`](https://skfolio.org/generated/skfolio.attribution.AssetBreakdown.html.md#skfolio.attribution.AssetBreakdown) | Per-asset attribution breakdown. | | [`attribution.AssetByFactorContribution`](https://skfolio.org/generated/skfolio.attribution.AssetByFactorContribution.html.md#skfolio.attribution.AssetByFactorContribution) | Asset-by-factor contribution breakdown. | | [`attribution.BaseBreakdown`](https://skfolio.org/generated/skfolio.attribution.BaseBreakdown.html.md#skfolio.attribution.BaseBreakdown) | Base class for attribution breakdowns. | | [`attribution.Component`](https://skfolio.org/generated/skfolio.attribution.Component.html.md#skfolio.attribution.Component) | Portfolio attribution component. | | [`attribution.FactorBreakdown`](https://skfolio.org/generated/skfolio.attribution.FactorBreakdown.html.md#skfolio.attribution.FactorBreakdown) | Per-factor attribution breakdown. | | [`attribution.FamilyBreakdown`](https://skfolio.org/generated/skfolio.attribution.FamilyBreakdown.html.md#skfolio.attribution.FamilyBreakdown) | Family-level attribution breakdown. | ### Attribution Functions | [`attribution.predicted_factor_attribution`](https://skfolio.org/generated/skfolio.attribution.predicted_factor_attribution.html.md#skfolio.attribution.predicted_factor_attribution)(...) | Compute predicted (ex-ante) factor volatility and return attribution. | |-------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------| | [`attribution.realized_factor_attribution`](https://skfolio.org/generated/skfolio.attribution.realized_factor_attribution.html.md#skfolio.attribution.realized_factor_attribution)(\*, ...) | Compute realized (ex-post) factor volatility and return attribution. | | [`attribution.rolling_realized_factor_attribution`](https://skfolio.org/generated/skfolio.attribution.rolling_realized_factor_attribution.html.md#skfolio.attribution.rolling_realized_factor_attribution)(\*, ...) | Compute rolling realized (ex-post) factor volatility and return attribution. | ## [`skfolio.moments.expected_returns`](#module-skfolio.moments.expected_returns): Expected Returns Estimators Expected returns module. ### Base Class | [`moments.BaseMu`](https://skfolio.org/generated/skfolio.moments.BaseMu.html.md#skfolio.moments.BaseMu) | Base class for all expected returns estimators in skfolio. | |------------------------------------------------------------------------------------------|--------------------------------------------------------------| ### Classes | [`moments.EmpiricalMu`](https://skfolio.org/generated/skfolio.moments.EmpiricalMu.html.md#skfolio.moments.EmpiricalMu) | Empirical Expected Returns (Mu) estimator. | |----------------------------------------------------------------------------------------------------------|---------------------------------------------------------| | [`moments.EWMu`](https://skfolio.org/generated/skfolio.moments.EWMu.html.md#skfolio.moments.EWMu) | Exponentially Weighted Expected Returns (Mu) estimator. | | [`moments.ShrunkMu`](https://skfolio.org/generated/skfolio.moments.ShrunkMu.html.md#skfolio.moments.ShrunkMu) | Shrinkage Expected Returns (Mu) estimator. | | [`moments.EquilibriumMu`](https://skfolio.org/generated/skfolio.moments.EquilibriumMu.html.md#skfolio.moments.EquilibriumMu) | Equilibrium Expected Returns (Mu) estimator. | | [`moments.ShrunkMuMethods`](https://skfolio.org/generated/skfolio.moments.ShrunkMuMethods.html.md#skfolio.moments.ShrunkMuMethods) | Shrinkage methods for the ShrunkMu estimator. | ## [`skfolio.moments.variance`](#module-skfolio.moments.variance): Variance Estimators Variance module. ### Base Class | [`moments.BaseVariance`](https://skfolio.org/generated/skfolio.moments.BaseVariance.html.md#skfolio.moments.BaseVariance) | Base class for all variance estimators in `skfolio`. | |------------------------------------------------------------------------------------------------------|--------------------------------------------------------| ### Classes | [`moments.EmpiricalVariance`](https://skfolio.org/generated/skfolio.moments.EmpiricalVariance.html.md#skfolio.moments.EmpiricalVariance) | Empirical Variance estimator. | |----------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | [`moments.EWVariance`](https://skfolio.org/generated/skfolio.moments.EWVariance.html.md#skfolio.moments.EWVariance) | Exponentially Weighted Variance estimator. | | [`moments.RegimeAdjustedEWVariance`](https://skfolio.org/generated/skfolio.moments.RegimeAdjustedEWVariance.html.md#skfolio.moments.RegimeAdjustedEWVariance) | Exponentially weighted variance estimator with regime adjustment via the Short-Term Volatility Update (STVU) [[R1cff04c74aab-1]](https://skfolio.org/generated/skfolio.moments.RegimeAdjustedEWVariance.html.md#r1cff04c74aab-1). | ## [`skfolio.moments.covariance`](#module-skfolio.moments.covariance): Covariance Estimators Covariance module. ### Base Class | [`moments.BaseCovariance`](https://skfolio.org/generated/skfolio.moments.BaseCovariance.html.md#skfolio.moments.BaseCovariance) | Base class for all covariance estimators in `skfolio`. | |----------------------------------------------------------------------------------------------------------|----------------------------------------------------------| ### Enum | [`moments.RegimeAdjustmentMethod`](https://skfolio.org/generated/skfolio.moments.RegimeAdjustmentMethod.html.md#skfolio.moments.RegimeAdjustmentMethod) | Transformation used to map the STVU statistic to the volatility multiplier. | |--------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------| | [`moments.RegimeAdjustmentTarget`](https://skfolio.org/generated/skfolio.moments.RegimeAdjustmentTarget.html.md#skfolio.moments.RegimeAdjustmentTarget) | Target dimension used to calibrate the short-term volatility update (STVU). | ### Classes | [`moments.EmpiricalCovariance`](https://skfolio.org/generated/skfolio.moments.EmpiricalCovariance.html.md#skfolio.moments.EmpiricalCovariance) | Empirical Covariance estimator. | |--------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | [`moments.EWCovariance`](https://skfolio.org/generated/skfolio.moments.EWCovariance.html.md#skfolio.moments.EWCovariance) | Exponentially Weighted Covariance estimator with NaN-aware pairwise updates. | | [`moments.GerberCovariance`](https://skfolio.org/generated/skfolio.moments.GerberCovariance.html.md#skfolio.moments.GerberCovariance) | Gerber Covariance estimator. | | [`moments.DenoiseCovariance`](https://skfolio.org/generated/skfolio.moments.DenoiseCovariance.html.md#skfolio.moments.DenoiseCovariance) | Covariance Denoising estimator. | | [`moments.DetoneCovariance`](https://skfolio.org/generated/skfolio.moments.DetoneCovariance.html.md#skfolio.moments.DetoneCovariance) | Covariance Detoning estimator. | | [`moments.LedoitWolf`](https://skfolio.org/generated/skfolio.moments.LedoitWolf.html.md#skfolio.moments.LedoitWolf) | LedoitWolf Covariance Estimator. | | [`moments.OAS`](https://skfolio.org/generated/skfolio.moments.OAS.html.md#skfolio.moments.OAS) | Oracle Approximating Shrinkage Estimator as proposed in [[Re9a22b087643-1]](https://skfolio.org/generated/skfolio.moments.OAS.html.md#re9a22b087643-1). | | [`moments.ShrunkCovariance`](https://skfolio.org/generated/skfolio.moments.ShrunkCovariance.html.md#skfolio.moments.ShrunkCovariance) | Covariance estimator with shrinkage. | | [`moments.GraphicalLassoCV`](https://skfolio.org/generated/skfolio.moments.GraphicalLassoCV.html.md#skfolio.moments.GraphicalLassoCV) | Sparse inverse covariance with cross-validated choice of the l1 penalty. | | [`moments.ImpliedCovariance`](https://skfolio.org/generated/skfolio.moments.ImpliedCovariance.html.md#skfolio.moments.ImpliedCovariance) | Implied Covariance estimator. | | [`moments.RegimeAdjustedEWCovariance`](https://skfolio.org/generated/skfolio.moments.RegimeAdjustedEWCovariance.html.md#skfolio.moments.RegimeAdjustedEWCovariance) | Exponentially weighted covariance estimator with regime adjustment via the Short-Term Volatility Update (STVU) [[R9fdb90a74052-1]](https://skfolio.org/generated/skfolio.moments.RegimeAdjustedEWCovariance.html.md#r9fdb90a74052-1). | ## [`skfolio.distance`](#module-skfolio.distance): Distance Estimators Distance Estimators. ### Base Class | [`distance.BaseDistance`](https://skfolio.org/generated/skfolio.distance.BaseDistance.html.md#skfolio.distance.BaseDistance) | Base class for all distance estimators in skfolio. | |--------------------------------------------------------------------------------------------------------|------------------------------------------------------| ### Classes | [`distance.PearsonDistance`](https://skfolio.org/generated/skfolio.distance.PearsonDistance.html.md#skfolio.distance.PearsonDistance) | Pearson Distance estimator. | |--------------------------------------------------------------------------------------------------------------------|---------------------------------| | [`distance.KendallDistance`](https://skfolio.org/generated/skfolio.distance.KendallDistance.html.md#skfolio.distance.KendallDistance) | Kendall Distance estimator. | | [`distance.SpearmanDistance`](https://skfolio.org/generated/skfolio.distance.SpearmanDistance.html.md#skfolio.distance.SpearmanDistance) | Spearman Distance estimator. | | [`distance.CovarianceDistance`](https://skfolio.org/generated/skfolio.distance.CovarianceDistance.html.md#skfolio.distance.CovarianceDistance) | Covariance Distance estimator. | | [`distance.DistanceCorrelation`](https://skfolio.org/generated/skfolio.distance.DistanceCorrelation.html.md#skfolio.distance.DistanceCorrelation) | Distance Correlation estimator. | | [`distance.MutualInformation`](https://skfolio.org/generated/skfolio.distance.MutualInformation.html.md#skfolio.distance.MutualInformation) | Mutual Information estimator. | ## [`skfolio.cluster`](#module-skfolio.cluster): Cluster Estimators Hierarchical Clustering estimators. ### Classes | [`cluster.HierarchicalClustering`](https://skfolio.org/generated/skfolio.cluster.HierarchicalClustering.html.md#skfolio.cluster.HierarchicalClustering) | Hierarchical Clustering. | |--------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------| | [`cluster.LinkageMethod`](https://skfolio.org/generated/skfolio.cluster.LinkageMethod.html.md#skfolio.cluster.LinkageMethod) | Methods for calculating the distance between clusters in the linkage matrix. | ## [`skfolio.uncertainty_set`](#module-skfolio.uncertainty_set): Uncertainty set Estimators Uncertainty Set module. ### Model Dataclass | [`uncertainty_set.UncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.UncertaintySet.html.md#skfolio.uncertainty_set.UncertaintySet) | Norm-ball uncertainty set. | |----------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------| | [`uncertainty_set.CompactCovarianceUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.CompactCovarianceUncertaintySet.html.md#skfolio.uncertainty_set.CompactCovarianceUncertaintySet) | Compact representation of a quadratic covariance uncertainty penalty. | ### Base Classes | [`uncertainty_set.BaseMuUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.BaseMuUncertaintySet.html.md#skfolio.uncertainty_set.BaseMuUncertaintySet) | Base class for all Mu Uncertainty Set estimators in `skfolio`. | |----------------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------| | [`uncertainty_set.BaseCovarianceUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.BaseCovarianceUncertaintySet.html.md#skfolio.uncertainty_set.BaseCovarianceUncertaintySet) | Base class for all Covariance Uncertainty Set estimators in `skfolio`. | ### Classes | [`uncertainty_set.EmpiricalMuUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.EmpiricalMuUncertaintySet.html.md#skfolio.uncertainty_set.EmpiricalMuUncertaintySet) | Empirical Mu Uncertainty Set. | |----------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------| | [`uncertainty_set.EmpiricalCovarianceUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.EmpiricalCovarianceUncertaintySet.html.md#skfolio.uncertainty_set.EmpiricalCovarianceUncertaintySet) | Empirical Covariance Uncertainty set. | | [`uncertainty_set.BootstrapMuUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.BootstrapMuUncertaintySet.html.md#skfolio.uncertainty_set.BootstrapMuUncertaintySet) | Bootstrap Mu Uncertainty set. | | [`uncertainty_set.BootstrapCovarianceUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.BootstrapCovarianceUncertaintySet.html.md#skfolio.uncertainty_set.BootstrapCovarianceUncertaintySet) | Bootstrap Covariance Uncertainty set. | | [`uncertainty_set.OrthogonalMuUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.OrthogonalMuUncertaintySet.html.md#skfolio.uncertainty_set.OrthogonalMuUncertaintySet) | Expected return uncertainty set estimator for directions outside the factor span. | | [`uncertainty_set.OrthogonalCovarianceUncertaintySet`](https://skfolio.org/generated/skfolio.uncertainty_set.OrthogonalCovarianceUncertaintySet.html.md#skfolio.uncertainty_set.OrthogonalCovarianceUncertaintySet) | Covariance uncertainty set estimator for directions outside the factor span. | ## [`skfolio.pre_selection`](#module-skfolio.pre_selection): Pre-selection Transformers Pre Selection module. ### Classes | [`pre_selection.DropCorrelated`](https://skfolio.org/generated/skfolio.pre_selection.DropCorrelated.html.md#skfolio.pre_selection.DropCorrelated) | Transformer for dropping highly correlated assets. | |----------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------------------| | [`pre_selection.DropZeroVariance`](https://skfolio.org/generated/skfolio.pre_selection.DropZeroVariance.html.md#skfolio.pre_selection.DropZeroVariance) | Transformer for dropping assets with near-zero variance. | | [`pre_selection.SelectKExtremes`](https://skfolio.org/generated/skfolio.pre_selection.SelectKExtremes.html.md#skfolio.pre_selection.SelectKExtremes) | Transformer for selecting the `k` best or worst assets. | | [`pre_selection.SelectNonDominated`](https://skfolio.org/generated/skfolio.pre_selection.SelectNonDominated.html.md#skfolio.pre_selection.SelectNonDominated) | Transformer for selecting non dominated assets. | | [`pre_selection.SelectComplete`](https://skfolio.org/generated/skfolio.pre_selection.SelectComplete.html.md#skfolio.pre_selection.SelectComplete) | Transformer to select assets with complete data across the entire observation period. | | [`pre_selection.SelectNonExpiring`](https://skfolio.org/generated/skfolio.pre_selection.SelectNonExpiring.html.md#skfolio.pre_selection.SelectNonExpiring) | Transformer to select assets that do not expire within a specified lookahead period after the end of the observation period. | ## [`skfolio.linear_model`](#module-skfolio.linear_model): Cross-sectional linear models Linear model module. ### Base Class | [`linear_model.BaseCSLinearModel`](https://skfolio.org/generated/skfolio.linear_model.BaseCSLinearModel.html.md#skfolio.linear_model.BaseCSLinearModel) | Base class for all cross-sectional linear model estimators. | |--------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------| ### Classes | [`linear_model.CSLinearRegression`](https://skfolio.org/generated/skfolio.linear_model.CSLinearRegression.html.md#skfolio.linear_model.CSLinearRegression) | Cross-sectional weighted least squares regression. | |--------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------| | [`linear_model.CSLinearRegressorWrapper`](https://skfolio.org/generated/skfolio.linear_model.CSLinearRegressorWrapper.html.md#skfolio.linear_model.CSLinearRegressorWrapper) | Cross-sectional regression based on a scikit-learn regressor. | ## [`skfolio.model_selection`](#module-skfolio.model_selection): Model Selection Model selection module. ### Base Classes | [`model_selection.BaseCombinatorialCV`](https://skfolio.org/generated/skfolio.model_selection.BaseCombinatorialCV.html.md#skfolio.model_selection.BaseCombinatorialCV) | Base class for all combinatorial cross-validators. | |------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------| ### Classes | [`model_selection.WalkForward`](https://skfolio.org/generated/skfolio.model_selection.WalkForward.html.md#skfolio.model_selection.WalkForward) | Walk Forward Cross-Validator. | |----------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------| | [`model_selection.CombinatorialPurgedCV`](https://skfolio.org/generated/skfolio.model_selection.CombinatorialPurgedCV.html.md#skfolio.model_selection.CombinatorialPurgedCV) | Combinatorial Purged Cross-Validation. | | [`model_selection.MultipleRandomizedCV`](https://skfolio.org/generated/skfolio.model_selection.MultipleRandomizedCV.html.md#skfolio.model_selection.MultipleRandomizedCV) | Multiple Randomized Cross-Validation. | | [`model_selection.OnlineGridSearch`](https://skfolio.org/generated/skfolio.model_selection.OnlineGridSearch.html.md#skfolio.model_selection.OnlineGridSearch) | Online exhaustive hyperparameter search over a parameter grid. | | [`model_selection.OnlineRandomizedSearch`](https://skfolio.org/generated/skfolio.model_selection.OnlineRandomizedSearch.html.md#skfolio.model_selection.OnlineRandomizedSearch) | Online randomized search on hyperparameters. | | [`model_selection.CovarianceForecastEvaluation`](https://skfolio.org/generated/skfolio.model_selection.CovarianceForecastEvaluation.html.md#skfolio.model_selection.CovarianceForecastEvaluation) | Out-of-sample covariance forecast evaluation. | | [`model_selection.CovarianceForecastComparison`](https://skfolio.org/generated/skfolio.model_selection.CovarianceForecastComparison.html.md#skfolio.model_selection.CovarianceForecastComparison) | Side-by-side comparison of covariance forecast evaluations. | ### Functions | [`model_selection.cross_val_predict`](https://skfolio.org/generated/skfolio.model_selection.cross_val_predict.html.md#skfolio.model_selection.cross_val_predict)(estimator, X) | Generate cross-validated `Portfolios` estimates. | |---------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------------------| | [`model_selection.online_predict`](https://skfolio.org/generated/skfolio.model_selection.online_predict.html.md#skfolio.model_selection.online_predict)(estimator, X) | Generate out-of-sample portfolios using online learning. | | [`model_selection.online_score`](https://skfolio.org/generated/skfolio.model_selection.online_score.html.md#skfolio.model_selection.online_score)(estimator, X[, ...]) | Score an online estimator using walk-forward evaluation. | | [`model_selection.online_covariance_forecast_evaluation`](https://skfolio.org/generated/skfolio.model_selection.online_covariance_forecast_evaluation.html.md#skfolio.model_selection.online_covariance_forecast_evaluation)(...) | Evaluate out-of-sample covariance forecast quality. | | [`model_selection.covariance_forecast_evaluation`](https://skfolio.org/generated/skfolio.model_selection.covariance_forecast_evaluation.html.md#skfolio.model_selection.covariance_forecast_evaluation)(...) | Evaluate out-of-sample covariance forecast quality using walk-forward cross-validation. | | [`model_selection.optimal_folds_number`](https://skfolio.org/generated/skfolio.model_selection.optimal_folds_number.html.md#skfolio.model_selection.optimal_folds_number)(...[, ...]) | Find the optimal number of folds (total folds and test folds) for a target training size and a target number of test paths. | ## [`skfolio.metrics`](#module-skfolio.metrics): Metrics Metrics module. ### Functions | [`metrics.make_scorer`](https://skfolio.org/generated/skfolio.metrics.make_scorer.html.md#skfolio.metrics.make_scorer)(score_func[, ...]) | Make a scorer from a [measure](#measures-ref), a portfolio score function, or a non-predictor estimator score function. | |---------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------| | [`metrics.diagonal_calibration_loss`](https://skfolio.org/generated/skfolio.metrics.diagonal_calibration_loss.html.md#skfolio.metrics.diagonal_calibration_loss)(estimator, ...) | Diagonal calibration loss. | | [`metrics.diagonal_calibration_ratio`](https://skfolio.org/generated/skfolio.metrics.diagonal_calibration_ratio.html.md#skfolio.metrics.diagonal_calibration_ratio)(...[, y]) | Diagonal calibration ratio based on marginal variances. | | [`metrics.exceedance_rate`](https://skfolio.org/generated/skfolio.metrics.exceedance_rate.html.md#skfolio.metrics.exceedance_rate)(squared_distances, ...) | Exceedance rate for chi-squared calibration statistics. | | [`metrics.mahalanobis_calibration_loss`](https://skfolio.org/generated/skfolio.metrics.mahalanobis_calibration_loss.html.md#skfolio.metrics.mahalanobis_calibration_loss)(...[, y]) | Mahalanobis calibration loss. | | [`metrics.mahalanobis_calibration_ratio`](https://skfolio.org/generated/skfolio.metrics.mahalanobis_calibration_ratio.html.md#skfolio.metrics.mahalanobis_calibration_ratio)(...[, y]) | Mahalanobis calibration ratio. | | [`metrics.portfolio_variance_calibration_loss`](https://skfolio.org/generated/skfolio.metrics.portfolio_variance_calibration_loss.html.md#skfolio.metrics.portfolio_variance_calibration_loss)(...) | Portfolio variance calibration loss. | | [`metrics.portfolio_variance_calibration_ratio`](https://skfolio.org/generated/skfolio.metrics.portfolio_variance_calibration_ratio.html.md#skfolio.metrics.portfolio_variance_calibration_ratio)(...) | Portfolio variance calibration ratio. | | [`metrics.portfolio_variance_qlike_loss`](https://skfolio.org/generated/skfolio.metrics.portfolio_variance_qlike_loss.html.md#skfolio.metrics.portfolio_variance_qlike_loss)(...[, ...]) | QLIKE loss for a projected portfolio variance forecast [[R7dedfcdc36e0-1]](https://skfolio.org/generated/skfolio.metrics.portfolio_variance_qlike_loss.html.md#r7dedfcdc36e0-1). | | [`metrics.qlike_loss`](https://skfolio.org/generated/skfolio.metrics.qlike_loss.html.md#skfolio.metrics.qlike_loss)(returns, forecast_variance) | QLIKE loss for univariate variance forecasts. | ## `skfolio.datasets`: Datasets ### Functions | [`datasets.load_sp500_dataset`](https://skfolio.org/generated/skfolio.datasets.load_sp500_dataset.html.md#skfolio.datasets.load_sp500_dataset)() | Load the prices of 20 assets from the S&P 500 Index. | |-------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------| | [`datasets.load_sp500_index`](https://skfolio.org/generated/skfolio.datasets.load_sp500_index.html.md#skfolio.datasets.load_sp500_index)() | Load the prices of the S&P 500 Index. | | [`datasets.load_factors_dataset`](https://skfolio.org/generated/skfolio.datasets.load_factors_dataset.html.md#skfolio.datasets.load_factors_dataset)() | Load the prices of 5 factor ETFs. | | [`datasets.load_ftse100_dataset`](https://skfolio.org/generated/skfolio.datasets.load_ftse100_dataset.html.md#skfolio.datasets.load_ftse100_dataset)([data_home, ...]) | Load the prices of 64 assets from the FTSE 100 Index composition. | | [`datasets.load_nasdaq_dataset`](https://skfolio.org/generated/skfolio.datasets.load_nasdaq_dataset.html.md#skfolio.datasets.load_nasdaq_dataset)([data_home, ...]) | Load the prices of 1455 assets from the NASDAQ Composite Index. | | [`datasets.load_sp500_implied_vol_dataset`](https://skfolio.org/generated/skfolio.datasets.load_sp500_implied_vol_dataset.html.md#skfolio.datasets.load_sp500_implied_vol_dataset)([...]) | Load the 3 months ATM implied volatility of the 20 assets from the SP500 dataset. | | [`datasets.make_synthetic_characteristics`](https://skfolio.org/generated/skfolio.datasets.make_synthetic_characteristics.html.md#skfolio.datasets.make_synthetic_characteristics)([...]) | Generate a synthetic characteristics [`AssetPanel`](https://skfolio.org/generated/skfolio.containers.AssetPanel.html.md#skfolio.containers.AssetPanel). | ## [`skfolio.preprocessing`](#module-skfolio.preprocessing): Preprocessing Preprocessing module. ### Base Class | [`preprocessing.BaseCSTransformer`](https://skfolio.org/generated/skfolio.preprocessing.BaseCSTransformer.html.md#skfolio.preprocessing.BaseCSTransformer) | Base class for all cross-sectional transformers in skfolio. | |----------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------| ### Classes | [`preprocessing.CSGaussianRankScaler`](https://skfolio.org/generated/skfolio.preprocessing.CSGaussianRankScaler.html.md#skfolio.preprocessing.CSGaussianRankScaler) | Cross-sectional rank Gaussianization. | |------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------| | [`preprocessing.CSPercentileRankScaler`](https://skfolio.org/generated/skfolio.preprocessing.CSPercentileRankScaler.html.md#skfolio.preprocessing.CSPercentileRankScaler) | Cross-sectional percentile rank. | | [`preprocessing.CSStandardScaler`](https://skfolio.org/generated/skfolio.preprocessing.CSStandardScaler.html.md#skfolio.preprocessing.CSStandardScaler) | Cross-sectional standardization. | | [`preprocessing.CSTanhShrinker`](https://skfolio.org/generated/skfolio.preprocessing.CSTanhShrinker.html.md#skfolio.preprocessing.CSTanhShrinker) | Cross-sectional tanh outlier shrinker. | | [`preprocessing.CSWinsorizer`](https://skfolio.org/generated/skfolio.preprocessing.CSWinsorizer.html.md#skfolio.preprocessing.CSWinsorizer) | Cross-sectional winsorization. | ### Functions | [`preprocessing.prices_to_returns`](https://skfolio.org/generated/skfolio.preprocessing.prices_to_returns.html.md#skfolio.preprocessing.prices_to_returns)(X[, y, ...]) | Transform a DataFrame of prices to linear or logarithmic returns. | |-----------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------| ## `skfolio.utils.tools`: Tools ### Classes | [`tools.AutoEnum`](https://skfolio.org/generated/skfolio.utils.tools.AutoEnum.html.md#skfolio.utils.tools.AutoEnum) | Base Enum class used in `skfolio`. | |------------------------------------------------------------------------------------------------------------------------|--------------------------------------| | [`tools.cached_property_slots`](https://skfolio.org/generated/skfolio.utils.tools.cached_property_slots.html.md#skfolio.utils.tools.cached_property_slots) | Cached property decorator for slots. | ### Functions | [`tools.apply_window_size`](https://skfolio.org/generated/skfolio.utils.tools.apply_window_size.html.md#skfolio.utils.tools.apply_window_size)(X, window_size) | Return the last `window_size` observations from the array X. | |--------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------| | [`tools.args_names`](https://skfolio.org/generated/skfolio.utils.tools.args_names.html.md#skfolio.utils.tools.args_names)(func) | Returns the argument names of a function. | | [`tools.bisection`](https://skfolio.org/generated/skfolio.utils.tools.bisection.html.md#skfolio.utils.tools.bisection)(x) | Generator to bisect a list of arrays. | | [`tools.cache_method`](https://skfolio.org/generated/skfolio.utils.tools.cache_method.html.md#skfolio.utils.tools.cache_method)(cache_name) | Decorator that caches class method results into a class dictionary. | | [`tools.check_estimator`](https://skfolio.org/generated/skfolio.utils.tools.check_estimator.html.md#skfolio.utils.tools.check_estimator)(estimator, default, ...) | Check the estimator type and return its cloned version if provided, otherwise return the default estimator. | | [`tools.deduplicate_names`](https://skfolio.org/generated/skfolio.utils.tools.deduplicate_names.html.md#skfolio.utils.tools.deduplicate_names)(names) | Rename duplicated names by appending "_{duplicate_nb}" at the end. | | [`tools.default_asset_names`](https://skfolio.org/generated/skfolio.utils.tools.default_asset_names.html.md#skfolio.utils.tools.default_asset_names)(n_assets) | Default asset names are `["x0", "x1", ..., "x(n_assets - 1)"]`. | | [`tools.fit_and_predict`](https://skfolio.org/generated/skfolio.utils.tools.fit_and_predict.html.md#skfolio.utils.tools.fit_and_predict)(estimator, X, y, ...) | Fit the estimator and predict values for a given dataset split. | | [`tools.fit_single_estimator`](https://skfolio.org/generated/skfolio.utils.tools.fit_single_estimator.html.md#skfolio.utils.tools.fit_single_estimator)(estimator, X, y, ...) | Fit (or partial-fit) an estimator on a subset of the data. | | [`tools.format_measure`](https://skfolio.org/generated/skfolio.utils.tools.format_measure.html.md#skfolio.utils.tools.format_measure)(x[, percent]) | Format a measure number into a user-friendly string. | | [`tools.get_feature_names`](https://skfolio.org/generated/skfolio.utils.tools.get_feature_names.html.md#skfolio.utils.tools.get_feature_names)(X) | Get feature names from X. | | [`tools.half_life_to_decay_factor`](https://skfolio.org/generated/skfolio.utils.tools.half_life_to_decay_factor.html.md#skfolio.utils.tools.half_life_to_decay_factor)(half_life) | Convert half-life to exponential decay factor. | | [`tools.input_to_array`](https://skfolio.org/generated/skfolio.utils.tools.input_to_array.html.md#skfolio.utils.tools.input_to_array)(items, n_assets, ...[, ...]) | Convert a collection of items (array-like or dictionary) into a numpy array and verify its shape. | | [`tools.optimal_rounding_decimals`](https://skfolio.org/generated/skfolio.utils.tools.optimal_rounding_decimals.html.md#skfolio.utils.tools.optimal_rounding_decimals)(x) | Return the optimal rounding decimal number for a user-friendly formatting. | | [`tools.safe_indexing`](https://skfolio.org/generated/skfolio.utils.tools.safe_indexing.html.md#skfolio.utils.tools.safe_indexing)(X, indices[, axis]) | Return rows, items or columns of X using indices. | | [`tools.safe_split`](https://skfolio.org/generated/skfolio.utils.tools.safe_split.html.md#skfolio.utils.tools.safe_split)(X[, y, indices, axis]) | Create subset of dataset. | | [`tools.validate_input_list`](https://skfolio.org/generated/skfolio.utils.tools.validate_input_list.html.md#skfolio.utils.tools.validate_input_list)(items, n_assets, ...) | Convert a list of items (asset indices or asset names) into a list of validated asset indices. | ## `skfolio.utils.stats`: Stats ### Enum | [`stats.NBinsMethod`](https://skfolio.org/generated/skfolio.utils.stats.NBinsMethod.html.md#skfolio.utils.stats.NBinsMethod) | Enumeration of the Number of Bins Methods. | |------------------------------------------------------------------------------------------------------|----------------------------------------------| ### Functions | [`stats.assert_is_distance`](https://skfolio.org/generated/skfolio.utils.stats.assert_is_distance.html.md#skfolio.utils.stats.assert_is_distance)(x) | Raises an error if the matrix is not a distance matrix. | |---------------------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------| | [`stats.assert_is_square`](https://skfolio.org/generated/skfolio.utils.stats.assert_is_square.html.md#skfolio.utils.stats.assert_is_square)(x) | Raises an error if the matrix is not square. | | [`stats.assert_is_symmetric`](https://skfolio.org/generated/skfolio.utils.stats.assert_is_symmetric.html.md#skfolio.utils.stats.assert_is_symmetric)(x, \*[, rtol, atol]) | Raises an error if the matrix is not symmetric. | | [`stats.combination_by_index`](https://skfolio.org/generated/skfolio.utils.stats.combination_by_index.html.md#skfolio.utils.stats.combination_by_index)(idx, n, k) | Retrieve the k-combination at a given lexicographic position without enumerating all combinations. | | [`stats.commutation_matrix`](https://skfolio.org/generated/skfolio.utils.stats.commutation_matrix.html.md#skfolio.utils.stats.commutation_matrix)(x) | Compute the commutation matrix. | | [`stats.compute_optimal_n_clusters`](https://skfolio.org/generated/skfolio.utils.stats.compute_optimal_n_clusters.html.md#skfolio.utils.stats.compute_optimal_n_clusters)(distance, ...) | Compute the optimal number of clusters based on Two-Order Difference to Gap Statistic [[Re0e718a4c413-1]](https://skfolio.org/generated/skfolio.utils.stats.compute_optimal_n_clusters.html.md#re0e718a4c413-1). | | [`stats.corr_to_cov`](https://skfolio.org/generated/skfolio.utils.stats.corr_to_cov.html.md#skfolio.utils.stats.corr_to_cov)(corr, std) | Convert a correlation matrix to a covariance matrix given its standard-deviation vector. | | [`stats.cov_nearest`](https://skfolio.org/generated/skfolio.utils.stats.cov_nearest.html.md#skfolio.utils.stats.cov_nearest)(cov[, higham, ...]) | Compute the nearest covariance matrix that is positive definite and with a cholesky decomposition that can be computed. | | [`stats.cov_to_corr`](https://skfolio.org/generated/skfolio.utils.stats.cov_to_corr.html.md#skfolio.utils.stats.cov_to_corr)(cov) | Convert a covariance matrix to a correlation matrix. | | [`stats.cs_pearson_correlation`](https://skfolio.org/generated/skfolio.utils.stats.cs_pearson_correlation.html.md#skfolio.utils.stats.cs_pearson_correlation)(a, b[, ...]) | Weighted cross-sectional Pearson correlation. | | [`stats.cs_rank`](https://skfolio.org/generated/skfolio.utils.stats.cs_rank.html.md#skfolio.utils.stats.cs_rank)(a[, axis]) | Cross-sectional rank along an axis. | | [`stats.cs_spearman_correlation`](https://skfolio.org/generated/skfolio.utils.stats.cs_spearman_correlation.html.md#skfolio.utils.stats.cs_spearman_correlation)(a, b[, axis, ...]) | Cross-sectional Spearman rank correlation. | | [`stats.inverse_multiply`](https://skfolio.org/generated/skfolio.utils.stats.inverse_multiply.html.md#skfolio.utils.stats.inverse_multiply)(a, b) | Multiply the inverse of matrix a by matrix b. | | [`stats.inverse_volatility_weights`](https://skfolio.org/generated/skfolio.utils.stats.inverse_volatility_weights.html.md#skfolio.utils.stats.inverse_volatility_weights)(covariance) | Inverse-volatility portfolio weights from a covariance matrix. | | [`stats.safe_cholesky`](https://skfolio.org/generated/skfolio.utils.stats.safe_cholesky.html.md#skfolio.utils.stats.safe_cholesky)(covariance[, ...]) | Compute a Cholesky factor $L$ from covariance $\Sigma$. | | [`stats.is_cholesky_dec`](https://skfolio.org/generated/skfolio.utils.stats.is_cholesky_dec.html.md#skfolio.utils.stats.is_cholesky_dec)(x) | Returns True if Cholesky decomposition can be computed. | | [`stats.minimize_relative_weight_deviation`](https://skfolio.org/generated/skfolio.utils.stats.minimize_relative_weight_deviation.html.md#skfolio.utils.stats.minimize_relative_weight_deviation)(...) | Apply weight constraints to an initial array of weights by minimizing the relative weight deviation of the final weights from the initial weights. | | [`stats.multiply_by_inverse`](https://skfolio.org/generated/skfolio.utils.stats.multiply_by_inverse.html.md#skfolio.utils.stats.multiply_by_inverse)(a, b) | Multiply matrix a by the inverse of matrix b. | | [`stats.n_bins_freedman`](https://skfolio.org/generated/skfolio.utils.stats.n_bins_freedman.html.md#skfolio.utils.stats.n_bins_freedman)(x) | Compute the optimal histogram bin size using the Freedman-Diaconis rule [[R8d5b646da1d1-1]](https://skfolio.org/generated/skfolio.utils.stats.n_bins_freedman.html.md#r8d5b646da1d1-1). | | [`stats.n_bins_knuth`](https://skfolio.org/generated/skfolio.utils.stats.n_bins_knuth.html.md#skfolio.utils.stats.n_bins_knuth)(x) | Compute the optimal histogram bin size using Knuth's rule [[R8c3fe88ee915-1]](https://skfolio.org/generated/skfolio.utils.stats.n_bins_knuth.html.md#r8c3fe88ee915-1). | | [`stats.rand_weights`](https://skfolio.org/generated/skfolio.utils.stats.rand_weights.html.md#skfolio.utils.stats.rand_weights)(n[, zeros, seed]) | Produces n random weights that sum to one from a uniform distribution (non-uniform distribution over a simplex). | | [`stats.rand_weights_dirichlet`](https://skfolio.org/generated/skfolio.utils.stats.rand_weights_dirichlet.html.md#skfolio.utils.stats.rand_weights_dirichlet)(n) | Produces n random weights that sum to one from a Dirichlet distribution (uniform distribution over a simplex). | | [`stats.sample_unique_subsets`](https://skfolio.org/generated/skfolio.utils.stats.sample_unique_subsets.html.md#skfolio.utils.stats.sample_unique_subsets)(n, k, n_subsets) | Generate unique k-element subsets from a universe of size n using combinatorial unranking. | | [`stats.squared_mahalanobis_dist`](https://skfolio.org/generated/skfolio.utils.stats.squared_mahalanobis_dist.html.md#skfolio.utils.stats.squared_mahalanobis_dist)(X, covariance) | Squared Mahalanobis distance via Cholesky decomposition. | | [`stats.squared_standardized_euclidean_dist`](https://skfolio.org/generated/skfolio.utils.stats.squared_standardized_euclidean_dist.html.md#skfolio.utils.stats.squared_standardized_euclidean_dist)(...) | Squared standardized Euclidean distance. | | [`stats.symmetric_step_up_matrix`](https://skfolio.org/generated/skfolio.utils.stats.symmetric_step_up_matrix.html.md#skfolio.utils.stats.symmetric_step_up_matrix)(n1, n2) | Compute the Symmetric step-up matrix M such that `M @ np.ones(n2) = np.ones(n1)`. | | [`stats.symmetrize`](https://skfolio.org/generated/skfolio.utils.stats.symmetrize.html.md#skfolio.utils.stats.symmetrize)(matrix[, where]) | In-place symmetrization: $M \leftarrow (M + M^T) / 2$. | ## `skfolio.utils.validation`: Validation ### Functions | [`validation.validate_asset_panel`](https://skfolio.org/generated/skfolio.utils.validation.validate_asset_panel.html.md#skfolio.utils.validation.validate_asset_panel)(_estimator, ...) | Validate an AssetPanel and set estimator metadata attributes. | |-------------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------| | [`validation.validate_cross_sectional_data`](https://skfolio.org/generated/skfolio.utils.validation.validate_cross_sectional_data.html.md#skfolio.utils.validation.validate_cross_sectional_data)(...) | Validate cross-sectional data. | ## [`skfolio.distribution`](#module-skfolio.distribution): Distribution Estimators Distribution module. ### Base Class | [`distribution.BaseDistribution`](https://skfolio.org/generated/skfolio.distribution.BaseDistribution.html.md#skfolio.distribution.BaseDistribution) | Base Distribution Estimator. | |------------------------------------------------------------------------------------------------------------------------|--------------------------------| ### Enum | [`distribution.SelectionCriterion`](https://skfolio.org/generated/skfolio.distribution.SelectionCriterion.html.md#skfolio.distribution.SelectionCriterion) | Enum representing the selection criteria. | |----------------------------------------------------------------------------------------------------------------------------|---------------------------------------------| ## [`skfolio.distribution.univariate`](#module-skfolio.distribution.univariate): Univariate Distribution Estimators Univariate Distribution module. ### Base Class | [`distribution.BaseUnivariateDist`](https://skfolio.org/generated/skfolio.distribution.BaseUnivariateDist.html.md#skfolio.distribution.BaseUnivariateDist) | Base Univariate Distribution Estimator. | |----------------------------------------------------------------------------------------------------------------------------|-------------------------------------------| ### Classes | [`distribution.Gaussian`](https://skfolio.org/generated/skfolio.distribution.Gaussian.html.md#skfolio.distribution.Gaussian) | Gaussian Distribution Estimation. | |--------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------| | [`distribution.StudentT`](https://skfolio.org/generated/skfolio.distribution.StudentT.html.md#skfolio.distribution.StudentT) | Student's t Distribution Estimation. | | [`distribution.JohnsonSU`](https://skfolio.org/generated/skfolio.distribution.JohnsonSU.html.md#skfolio.distribution.JohnsonSU) | Johnson SU Distribution Estimation. | | [`distribution.NormalInverseGaussian`](https://skfolio.org/generated/skfolio.distribution.NormalInverseGaussian.html.md#skfolio.distribution.NormalInverseGaussian) | Normal Inverse Gaussian Distribution Estimation. | ### Functions | [`distribution.select_univariate_dist`](https://skfolio.org/generated/skfolio.distribution.select_univariate_dist.html.md#skfolio.distribution.select_univariate_dist)(X[, ...]) | Select the optimal univariate distribution estimator based on an information criterion. | |----------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------| ## [`skfolio.distribution.multivariate`](#module-skfolio.distribution.multivariate): Multivariate Distribution Estimators Multivariate Distribution module. ### Base Class | [`distribution.BaseMultivariateDist`](https://skfolio.org/generated/skfolio.distribution.BaseMultivariateDist.html.md#skfolio.distribution.BaseMultivariateDist) | Base class for Multivariate Distribution Estimators. | |--------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------| ### Classes | [`distribution.VineCopula`](https://skfolio.org/generated/skfolio.distribution.VineCopula.html.md#skfolio.distribution.VineCopula) | Regular Vine Copula Estimator. | |------------------------------------------------------------------------------------------------------------|----------------------------------| ### Enum | [`distribution.DependenceMethod`](https://skfolio.org/generated/skfolio.distribution.DependenceMethod.html.md#skfolio.distribution.DependenceMethod) | Enumeration of methods to measure bivariate dependence. | |------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------| ## [`skfolio.distribution.copula`](#module-skfolio.distribution.copula): Bivariate Copula Estimators Copula module. ### Base Class | [`distribution.BaseBivariateCopula`](https://skfolio.org/generated/skfolio.distribution.BaseBivariateCopula.html.md#skfolio.distribution.BaseBivariateCopula) | Base class for Bivariate Copula Estimators. | |------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------| ### Classes | [`distribution.GaussianCopula`](https://skfolio.org/generated/skfolio.distribution.GaussianCopula.html.md#skfolio.distribution.GaussianCopula) | Bivariate Gaussian Copula Estimation. | |------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------| | [`distribution.StudentTCopula`](https://skfolio.org/generated/skfolio.distribution.StudentTCopula.html.md#skfolio.distribution.StudentTCopula) | Bivariate Student's t Copula Estimation. | | [`distribution.ClaytonCopula`](https://skfolio.org/generated/skfolio.distribution.ClaytonCopula.html.md#skfolio.distribution.ClaytonCopula) | Bivariate Clayton Copula Estimation. | | [`distribution.GumbelCopula`](https://skfolio.org/generated/skfolio.distribution.GumbelCopula.html.md#skfolio.distribution.GumbelCopula) | Bivariate Gumbel Copula Estimation. | | [`distribution.JoeCopula`](https://skfolio.org/generated/skfolio.distribution.JoeCopula.html.md#skfolio.distribution.JoeCopula) | Bivariate Joe Copula Estimation. | | [`distribution.IndependentCopula`](https://skfolio.org/generated/skfolio.distribution.IndependentCopula.html.md#skfolio.distribution.IndependentCopula) | Bivariate Independent Copula (also called the product copula). | ### Functions | [`distribution.compute_pseudo_observations`](https://skfolio.org/generated/skfolio.distribution.compute_pseudo_observations.html.md#skfolio.distribution.compute_pseudo_observations)(X) | Compute pseudo-observations by ranking each column of the data and scaling the ranks. | |------------------------------------------------------------------------------------------------------------------------------------------------------|--------------------------------------------------------------------------------------------| | [`distribution.empirical_tail_concentration`](https://skfolio.org/generated/skfolio.distribution.empirical_tail_concentration.html.md#skfolio.distribution.empirical_tail_concentration)(X, ...) | Compute empirical tail concentration for the two variables in X. | | [`distribution.plot_tail_concentration`](https://skfolio.org/generated/skfolio.distribution.plot_tail_concentration.html.md#skfolio.distribution.plot_tail_concentration)(...[, ...]) | Plot the empirical tail concentration curves. | | [`distribution.select_bivariate_copula`](https://skfolio.org/generated/skfolio.distribution.select_bivariate_copula.html.md#skfolio.distribution.select_bivariate_copula)(X[, ...]) | Select the best bivariate copula from a list of candidates using an information criterion. | ### Enum | [`distribution.CopulaRotation`](https://skfolio.org/generated/skfolio.distribution.CopulaRotation.html.md#skfolio.distribution.CopulaRotation) | Enum representing the rotation (in degrees) to apply to a bivariate copula. | |--------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------|