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v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB
Assets / Covariance Matrix Estimation

Clustering-Based Linearly Shrunk Empirical Covariance Matrix

Compute a clustering-based linearly shrunk empirical asset covariance matrix, which is a convex combination of the empirical covariance matrix of these assets' and a clustering-based target covariance matrix.

The available clustering-based target covariance matrices are the same as those available in the endpoint /assets/covariance/matrix/estimation/empirical/shrunk, extended to a clustering-based context.

References

post/assets/covariance/matrix/estimation/empirical/shrunk/clustering-based

Request body

shrinkageTargetCovarianceMatrix'constantVarianceBlockCovarianceMatrix' | 'diagonalBlockCovarianceMatrix' | 'constantVarianceCovarianceBlockCovarianceMatrix' | 'constantCorrelationBlockCovarianceMatrix'

The clustering-based target covariance matrix towards which to shrink the empirical covariance matrix of the assets returns

shrinkageIntensityComputationMethod'manual' | 'quadraticMeanLossMinimization' | 'quadraticLossMinimization'

The method to compute the shrinkage intensity; if not provided, defaults to the quadratic mean loss minimization procedure described in the references

shrinkageIntensitynumber

The shrinkage intensity to apply to the empirical covariance matrix of the assets returns when shrinkageIntensityComputationMethod is equal to 'manual'

Response

OK