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

Mean-Variance Efficient Portfolio

Compute the asset weights of a mean-variance efficient portfolio, optionally subject to:

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

A mean-variance efficient portfolio is a portfolio belonging to the mean-variance efficient frontier.

References

  • Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.
post/portfolios/optimization/mean-variance-efficient

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

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

Response

OK

assetsWeightsnumber[] required

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