skfolio.optimization.EqualWeighted

class skfolio.optimization.EqualWeighted(portfolio_params=None)

Equally Weighted estimator.

Each asset weight is equal to 1/n_assets.

Parameters:

portfolio_paramsdict, optional

Portfolio parameters passed to the portfolio evaluated by the predict and score methods. If not provided, the name, transaction_costs, management_fees, previous_weights and risk_free_rate are copied from the optimization model and passed to the portfolio.

Attributes:

weights_ndarray of shape (n_assets,) or (n_optimizations, n_assets)

Weights of the assets.

Methods

fit(X[, y])	Fit the Equal Weighted estimator.
fit_predict(X)	Perform fit on X and returns the predicted Portfolio or Population of Portfolio on X based on the fitted weights.
get_metadata_routing()	Get metadata routing of this object.
get_params([deep])	Get parameters for this estimator.
predict(X)	Predict the Portfolio or Population of Portfolio on X based on the fitted weights.
score(X[, y])	Prediction score.
set_params(**params)	Set the parameters of this estimator.

fit(X, y=None)

Fit the Equal Weighted estimator.

Parameters:

Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

yIgnored

Not used, present for API consistency by convention.

Returns:

selfEqualWeighted

Fitted estimator.

fit_predict(X)

Perform fit on X and returns the predicted Portfolio or Population of Portfolio on X based on the fitted weights. For factor models, use fit(X, y) then predict(X) separately.

Parameters:

Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

Returns:

predictionPortfolio | Population

Portfolio or Population of Portfolio estimated on X based on the fitted weights.

get_metadata_routing()

Get metadata routing of this object.

Please check User Guide on how the routing mechanism works.

Returns:

routingMetadataRequest

A MetadataRequest encapsulating routing information.

get_params(deep=True)

Get parameters for this estimator.

Parameters:

deepbool, default=True

If True, will return the parameters for this estimator and contained subobjects that are estimators.

Returns:

paramsdict

Parameter names mapped to their values.

predict(X)

Predict the Portfolio or Population of Portfolio on X based on the fitted weights.

Optimization estimators can return a 1D or a 2D array of weights. For a 1D array, the prediction returns a Portfolio. For a 2D array, the prediction returns a Population of Portfolio.

If name is not provided in the portfolio arguments, we use the first 500 characters of the estimator name.

Parameters:

Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

Returns:

predictionPortfolio | Population

Portfolio or Population of Portfolio estimated on X based on the fitted weights.

score(X, y=None)

Prediction score. If the prediction is a single Portfolio, the score is the Sharpe Ratio. If the prediction is a Population of Portfolio, the score is the mean of all the portfolios Sharpe Ratios in the population.

Parameters:

Xarray-like of shape (n_observations, n_assets)

Price returns of the assets.

yIgnored

Not used, present here for API consistency by convention.

Returns:

scorefloat

The Sharpe Ratio of the portfolio if the prediction is a single Portfolio or the mean of all the portfolios Sharpe Ratios if the prediction is a Population of Portfolio.

set_params(**params)

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as Pipeline). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters:

**paramsdict

Estimator parameters.

Returns:

selfestimator instance

Estimator instance.