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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Assets / Expected Returns Estimation

Implied Expected Returns

Compute asset expected returns estimates as implied by their current portfolio weights and covariance matrix.

References

Herold, U. Computing implied returns in a meaningful way. J Asset Manag 6, 53–64 (2005)
David Ardia, Kris Boudt, Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy, The Journal of Portfolio Management Summer 2015, 41 (4) 68 - 81
Best, M. J., & Grauer, R. R. (1985). Capital Asset Pricing Compatible with Observed Market Value Weights. The Journal of Finance, 40(1), 85–103

post/assets/returns/expected/estimation/implied

Request body

assetsinteger required

The number of assets in the portfolio

assetsWeightsnumber[] required

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

riskFreeReturnnumber

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

Response

OK

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the estimate of the expected return of asset i