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v2

latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB
Portfolio Replication

Index Tracking Portfolio

Construct a portfolio as close as possible, in terms of returns, to a benchmark, optionally subject to:

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

References

  • Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar, Optimization Methods for Financial Index Tracking: From Theory to Practice, now publishers Inc (7 juin 2018)
post/portfolios/replication/index-tracking

Request body

benchmarkReturnsnumber[] required

benchmarkReturns[t] is the return of the benchmark at the time t; the benchmarkReturns array must have the same length as all the assetReturns arrays

Response

OK

assetsWeightsnumber[] required

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