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v2

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

Clustering-Based Shrunk Empirical Correlation Matrix

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

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

References

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

Request body

shrinkageTargetCorrelationMatrix'zeroBlockEquicorrelationMatrix' | 'constantBlockEquicorrelationMatrix'

The clustering-based correlation matrix towards which to shrink the empirical correlation 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 correlation matrix of the assets returns when shrinkageIntensityComputationMethod is equal to 'manual'

Response

OK