[ENH] Add EfficientMVSK optimizer (mean-variance-skewness-kurtosis)#730
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[ENH] Add EfficientMVSK optimizer (mean-variance-skewness-kurtosis)#730dthinkr wants to merge 1 commit into
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… optimization Add MVSK portfolio optimization via the yand-mvsk package, which implements Yau's Affine-Normal Descent algorithm. This extends PyPortfolioOpt beyond mean-variance by jointly optimizing over all four moments, penalizing crash risk (skewness) and tail risk (kurtosis).
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Summary
EfficientMVSKoptimizer backed byyand-mvsk, which implements Yau's Affine-Normal Descent algorithm (arXiv:2604.25378)BaseOptimizer(likeCLA— no cvxpy dependency);yand-mvskis an optional dependency inall_extrasMotivation
Classical mean-variance optimization ignores skewness (crash risk) and kurtosis (tail risk). MVSK optimization jointly considers all four moments, producing portfolios that are more robust to tail events.
Previous MVSK implementations were impractical because they required materializing O(n³) coskewness and O(n⁴) cokurtosis tensors. The YAND algorithm computes all moment operations via O(Tn) matrix-vector products, solving 800-asset problems in <100ms:
Usage
Changes
pypfopt/efficient_frontier/efficient_mvsk.py— newEfficientMVSKclasspypfopt/efficient_frontier/__init__.py— register exportpypfopt/__init__.py— top-level exportpyproject.toml— addyand-mvsk>=0.2.0toall_extrastests/test_efficient_mvsk.py— 18 tests covering convergence, correctness (beats equal-weight), bounds, performance metrics, serializationTest plan
yand-mvskgracefully skipped when not installed (soft dependency)