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latestOpenAPI 3.0.1Apache 2.02026-07-2623201.3 MB

Portfolio Optimization

Inverse Variance Weighted Portfolio

Compute the asset weights of the inverse variance-weighted portfolio.

References

post/portfolios/optimization/inverse-variance-weighted

assetsinteger required

The number of assets

assetsVariancesnumber[] required

assetsVariances[i] is the variance of the asset i

assetsWeightsnumber[] required

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