POportfoliooptimizer
Assets / Covariance Matrix Estimation

Clustering-Based Linearly Shrunk Empirical Covariance Matrix

Changed on

Compute a clustering-based linearly shrunk empirical asset covariance matrix, which is a convex combination of the empirical covariance matrix of these assets' and a clustering-based target covariance matrix.

The available clustering-based target covariance matrices are the same as those available in the endpoint /assets/covariance/matrix/estimation/empirical/shrunk, extended to a clustering-based context.

References

post/assets/covariance/matrix/estimation/empirical/shrunk/clustering-based

Request

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

Request body

shrinkageTargetCovarianceMatrix'constantVarianceBlockCovarianceMatrix' | 'diagonalBlockCovarianceMatrix' | 'constantVarianceCovarianceBlockCovarianceMatrix' | 'constantCorrelationBlockCovarianceMatrix'

The clustering-based target covariance matrix towards which to shrink the empirical covariance matrix of the assets returns

shrinkageIntensityComputationMethod'manual' | 'quadraticMeanLossMinimization' | 'quadraticLossMinimization'

The method to compute the shrinkage intensity; if not provided, defaults to the quadratic mean loss minimization procedure described in the references

shrinkageIntensitynumber

The shrinkage intensity to apply to the empirical covariance matrix of the assets returns when shrinkageIntensityComputationMethod is equal to 'manual'

Response

OK

Changes

  • 906989d3f7f7Revision changes
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      added the new required request property

    • breaking

      added the new required request property

    • breaking

      removed subschema #1 subschema #2 from the request body oneOf list

    • breaking

      the request's body type changed from no type to object

    • info

      added the new optional request property

    • info

      added the new optional request property

    • info

      added the new optional request property

  • 614076795988Revision changes
    • breaking

      removed subschema #1 subschema #2 from the request body oneOf list

    • info

      added subschema #1 subschema #2 to the request body oneOf list