skfolio.moments.GeodesicShrinkageTarget

class skfolio.moments.GeodesicShrinkageTarget(*values)

Target for geodesic covariance shrinkage.

Attributes:

SCALED_IDENTITYstr

Identity matrix scaled by the average asset variance.

DIAGONALstr

Diagonal matrix containing the asset variances.

classmethod has(value)

Check if a value is in the Enum.

Parameters:

valuestr

Input value.

Returns:

xbool

True if the value is in the Enum, False otherwise.