POportfoliooptimizer
Assets / Covariance Matrix Estimation

Exponentially Weighted Empirical Covariance Matrix

Changed on

Estimate an asset exponentially weighted empirical covariance matrix, from either:

  • Asset returns
  • Asset close-to-close prices, from which asset logarithmic returns are computed

References

post/assets/covariance/matrix/estimation/empirical/exponentially-weighted

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/assets/covariance/matrix/estimation/empirical/exponentially-weighted
  • Auth
    API key in header X-API-Key

Request body

OR

Response

OK

Changes