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

Diversified Minimum Variance Portfolio

Compute the asset weights of the diversified minimum variance 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/minimum-variance/diversified

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[]

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

portfolioMeanReturnTolerancenumber

The relative tolerance over the minimum variance portfolio mean return, if applicable

portfolioVolatilityTolerancenumber

The relative tolerance over the minimum variance portfolio volatility

Response

OK

assetsWeightsnumber[] required

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