POportfoliooptimizer
Assets / Covariance Matrix Estimation

Gerber Covariance Matrix

Changed on

Compute the Gerber asset covariance matrix, from either:

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

References

post/assets/covariance/matrix/estimation/gerber

Request

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

Request body

OR

Response

OK

Changes

  • 24e65d80f8ebRevision changes
    • warning

      removed the request property /////

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      removed the request property /////

    • warning

      removed the request property /////

  • ac51d393c9a9Revision changes
    • breaking

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

    • warning

      removed the request property

    • warning

      removed the request property

    • info

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