skfolio.prior.PriorModel

class skfolio.prior.PriorModel(mu, covariance, returns, cholesky=None)

Prior model dataclass.

Attributes:

mundarray of shape (n_assets,)

Estimation of the assets expected returns.

covariancendarray of shape (n_assets, n_assets)

Estimation of the assets covariance matrix.

returnsndarray of shape (n_observations, n_assets)

Estimation of the assets returns.

choleskyndarray, optional

Lower-triangular Cholesky factor of the covariance. In some cases it is possible to obtain a cholesky factor with less dimension compared to the one obtained directly by applying the cholesky decomposition to the covariance estimation (for example in Factor Models). When provided, this cholesky factor is use in some optimizations (for example in mean-variance) to improve performance and convergence. The default is None.