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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Optimization

Equal Sharpe Ratio Contributions Portfolio

Compute the asset weights of the equal Sharpe Ratio contributions portfolio.

References

post/portfolios/optimization/equal-sharpe-ratio-contributions

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

assetsWeightsnumber[] required

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