[BUG] risk_free_rate argument does not seem to work about skfolio HOT 2 CLOSED

Thank you. skfolio seems much more efficient than both PyPortfolioOpt and Riskfolio-Lib. I decided to stop teaching Riskfolio-Lib and switch to skfolio even though it is still in development phase.

from skfolio.

Hello, for a quick fix you can explicitly pass the risk free rate to the predicted portfolio using portfolio_params:

model = MeanRisk(
    objective_function=ObjectiveFunction.MAXIMIZE_RATIO,
    risk_free_rate=0.02 / 252,
    portfolio_params=dict(risk_free_rate=0.02 / 252)
)

The risk_free_rate of estimators like MeanRisk is only used for the optimization that involves risk measures that are a function of risk free rates like the Sharpe Ratio. For improved usability, optimization parameters that are also found in Portfolio parameters are automatically passed to the predicted Portfolio unless already provided by portfolio_params (this includes transaction_costs, management_fees and previous_weights). I'll add the risk free rate to that list.

from skfolio.