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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB
Portfolio Optimization / Mean-Variance

Diversified Maximum Sharpe Ratio Portfolio

Compute the asset weights of the diversified maximum Sharpe ratio portfolio, optionally subject to:

  • Minimum and maximum weights constraints
  • Minimum and maximum group weights constraints
  • Minimum and maximum portfolio exposure constraints

The diversification measure used in the optimization procedure is the Herfindahl-Hirschman Index of the assets weights.

References

post/portfolios/optimization/maximum-sharpe-ratio/diversified

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the arithmetic (expected) return of asset i

riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage

portfolioMeanReturnTolerancenumber

The relative tolerance over the maximum Sharpe Ratio portfolio return, if applicable

portfolioVolatilityTolerancenumber

The relative tolerance over the maximum Sharpe Ratio portfolio volatility

Response

OK

assetsWeightsnumber[] required

assetsWeights[i] is the weight of the asset i in the portfolio, in percentage