Add asserts for cross_val_predict

Author: dcelisgarza

src/20_Optimisation/02_CrossValidation/06_Validation.jl

@@ -1,6 +1,8 @@
 function cross_val_predict(opt::NonFiniteAllocationOptimisationEstimator, rd::ReturnsResult,
                            cv::CrossValidationEstimator = KFold(); cols = :,
                            ex::FLoops.Transducers.Executor = FLoops.ThreadedEx())
+    assert_internal_optimiser(opt)
+    assert_external_optimiser(opt)
     if !isa(cols, Colon)
         rd = returns_result_view(rd, cols)
         opt = opt_view(opt, cols, rd.X)

test/test_23_cross_validation.jl

@@ -569,7 +569,6 @@
             @test df_w[!, :nx] == dft_w[!, :nx]
             return nothing
         end
-
         mr = MeanRisk(; opt = JuMPOptimiser(; slv = slv))
         cv = KFold(; n = 10)
         kfold_pred = cross_val_predict(mr, rd, cv)
@@ -617,5 +616,11 @@
                                 rng = StableRNG(666), seed = 69)
         multiple_rand_serial_pred = cross_val_predict(mr, rd, cv)
         test_pred(multiple_rand_serial_pred, "multiple_rand_serial_pred"; rtol = 1e-6)
+
+        mr = MeanRisk(;
+                      opt = JuMPOptimiser(; slv = slv,
+                                          ret = ArithmeticReturn(; lb = Frontier(; N = 15))))
+        cv = KFold(; n = 10)
+        eff_front = cross_val_predict(mr, rd, cv)
     end
 end

test/test_24_docs.jl

@@ -10,5 +10,5 @@
             push!(no_docs, sym)
         end
     end
-    @test length(no_docs) == 431
+    @test length(no_docs) == 437
 end