Assets / Correlation Matrix
Completed Correlation Matrix
Changed onCompute the maximal determinant completion of a partially specified asset correlation matrix, potentially altering the specified correlations if such a completion does not exist.
References
- Georgescu DI, Higham NJ, Peters GW. 2018 Explicit solutions to correlation matrix completion problems, with an application to risk management and insurance
- Olaf Dreyer, Matrix completion and semidefinite matrices, arXiv
- van der Schans, Martin and Boer, Alex, A Heuristic for Completing Covariance And Correlation Matrices (March 14, 2013). Technical Working Paper 2014-01
post/assets/correlation/matrix/completed
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- URLhttps://api.portfoliooptimizer.io/v1/assets/correlation/matrix/completed
- AuthAPI key in header X-API-Key
Request body
Response
OK
Changes
- info
endpoint added
- info