# skfolio

> Python library for portfolio optimization, factor model construction, and risk management, built on top of scikit-learn: create, fine-tune, cross-validate, and stress-test portfolio models.


2026, skfolio developers (BSD License)

## Pages in this subsection

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

## Optional

- [Top-level llms.txt](https://skfolio.org/llms.txt): Complete documentation index.