---
title: "Maximum Ulcer Performance Index Portfolio"
method: POST
path: "/portfolios/optimization/maximum-ulcer-performance-index"
tags: ["Portfolio Optimization / Ulcer Index"]
---

# Maximum Ulcer Performance Index Portfolio

`POST /portfolios/optimization/maximum-ulcer-performance-index`

Compute the asset weights of the maximum Ulcer Performance Index portfolio, optionally subject to:  
* Minimum and maximum weights constraints
* Minimum and maximum group weights constraints
* Minimum and maximum portfolio exposure constraints

Notes:  
* This endpoint will return an error if the maximum Ulcer Performance Index portfolio has a negative Ulcer Performance Index

References
 * [Peter G. Martin, Ulcer Index, An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance](http://www.tangotools.com/ui/ui.htm)
 * [A. Chekhlov, S. Uryasev, M. Zabarankin, Portfolio Optimization with Drawdown Constraints, Supply Chain and Finance, p 209-228](https://doi.org/10.1142/9789812562586_0013)
 * [A. Chekhlov, S. Uryasev, M. Zabarankin, Drawdown Measure in Portfolio Optimization, International Journal of Theoretical and Applied FinanceVol. 08, No. 01, pp. 13-58 (2005)](https://www.worldscientific.com/doi/10.1142/S0219024905002767)

## Request body

- object
  - `assets` object[], required
    - `assetPrices` number[], required — assetPrices[t] is the price of the asset at the time t
  - `riskFreeReturn` number — The constant risk-free arithmetic return over the considered time period, in percentage
  - `constraints` object
    - `minimumAssetsWeights` number[] — minimumAssetsWeights[i] is the minimum weight of the asset i in the portfolio, in percentage
    - `maximumAssetsWeights` number[] — maximumAssetsWeights[i] is the maximum weight of the asset i in the portfolio, in percentage
    - `assetsGroups` array[]
      - integer[] — assetsGroups[k] is the indexes of the assets belonging to the assets group k in the portfolio; exclusive with assetsGroupsMatrix
    - `assetsGroupsMatrix` array[] — assetsGroupsMatrix[k][i] is the weight of the asset i in the group of assets k; exclusive with assetsGroups
      - number[]
    - `maximumAssetsGroupsWeights` number[] — maximumAssetsGroupsWeights[k] is the maximum weight of the assets group k in the portfolio, in percentage between 0 and 1 if assetsGroups is provided
    - `minimumPortfolioExposure` number — The minimum portfolio exposure; must be lower than or equal to maximumPortfolioExposure
    - `maximumPortfolioExposure` number — The maximum portfolio exposure; must be higher than or equal to minimumPortfolioExposure

## Response `200`

OK

- object
  - `assetsWeights` number[], required — assetsWeights[i] is the weight of the asset i in the portfolio, in percentage

---

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