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v2

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

Subset Resampling-Based Maximum Sharpe Ratio Portfolio

Compute the asset weights of the susbet 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/subset-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

subsetSizeinteger

The number of assets to include in each subset portfolio; defaults to a value of order the square root of the total number of assets

simulatedPortfoliosinteger

The number of simulated portfolios to compute; only applicable if the generation method for the subset portfolios is random sampling

simulatedPortfoliosGenerationMethod'complete' | 'random'

The method to generate the simulated portfolios

simulatedPortfoliosAggregationMethod'average' | 'median'

The method to aggregate the simulated portfolios

Response

OK

assetsWeightsnumber[] required

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