numeraire.adapters.skfolio_adapter.SkfolioWeights

class numeraire.adapters.skfolio_adapter.SkfolioWeights(estimator: Any | None = None, *, window: int | None = None)

Bases: object

Adapt a skfolio optimizer to numeraire to_weights.

estimator is a skfolio estimator instance (e.g. MeanRisk(), RiskBudgeting(), HierarchicalRiskParity()); it is cloned per fit so each origin gets a fresh optimization. When None, a default skfolio.optimization.MeanRisk is used. window optionally caps the estimation lookback to the most recent rows of the fit view.

__init__(estimator: Any | None = None, *, window: int | None = None) → None

Methods

__init__([estimator, window])
fit(view)