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v2

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

Resampling-Based Mean-Variance Efficient Frontier

Compute the discretized resampling-based mean-variance efficient frontier associated to a list of assets, optionally subject to:

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

References

post/portfolios/analysis/mean-variance/efficient-frontier/resampling-based

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

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

simulatedEfficientFrontiersinteger

The number of efficient frontiers to simulate

simulatedEfficientFrontiersAggregationMethod'average' | 'median'

The method to aggregate the simulated efficient frontiers

simulatedEfficientFrontiersDiscretizationMethod'rankAssociation' | 'lambdaAssociation'

The method to discretize the simulated efficient frontiers

assetsCorrelationMatrixUncertaintyLevelnumber

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

Response

OK