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v2

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

Resampling-Based Maximum Sharpe Ratio Portfolio

Compute the asset weights of the resampling-based maximum Sharpe Ratio portfolio, optionally subject to:

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

References

post/portfolios/optimization/maximum-sharpe-ratio/resampling-based

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

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

riskFreeReturnnumber

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

simulatedPortfoliosinteger

The number of portfolios to simulate

simulatedPortfoliosAggregationMethod'average' | 'median'

The method to aggregate the simulated portfolios

assetsCorrelationMatrixUncertaintyLevelnumber

The uncertainty level on the coefficients of the asset correlation matrix associated to assetsCovarianceMatrix; defaults to 0.10

Response

OK

assetsWeightsnumber[] required

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