Portfolio

Blend asset-class assumptions into a portfolio return & volatility

Combines per-asset-class capital-market assumptions (expected return, volatility, weight) and a correlation structure into a single portfolio expected return and volatility via mean/variance (Markowitz) aggregation. The outputs map directly to the Monte Carlo endpoint's expected_return and return_volatility. Deterministic.

post/v1/capital-market-assumptions

Request

  • Base URL: https://api.numeratica.com
  • URL: https://api.numeratica.com/v1/capital-market-assumptions
  • Auth: one of:
    • HTTP bearer
    • API key in header X-API-Key

Request body

default_correlationnumber

Pairwise correlation used when no matrix is given.

Example request

{
  "assets": [
    {
      "name": "stocks",
      "expected_return": 0.08,
      "volatility": 0.18,
      "weight": 0.6
    }
  ]
}

Response

Blended portfolio

result_idstring
engine_versionstring
disclaimerstring

Example response

{
  "result_id": "cma_1a2b3c4d5e6f7a8b",
  "engine_version": "cma-1.0.0",
  "inputs": {
    "assets": [
      {
        "name": "stocks",
        "expected_return": 0.08,
        "volatility": 0.18,
        "weight": 0.6
      }
    ]
  }
}

Changes

No recorded changes to this operation across all 1 revision of this API.