Assets / Covariance Matrix Forecast
Simple Moving Average Model (SMA)
Changed onForecast an (averaged) asset covariance matrix using a simple moving average (SMA) model.
References
- Kasper Johansson, Mehmet G. Ogut, Markus Pelger, Thomas Schmelzer and Stephen Boyd (2023), A Simple Method for Predicting Covariance Matrices of Financial Returns, Foundations and Trends® in Econometrics: Vol. 12: No. 4, pp 324-407
- Gianluca De Nard, Olivier Ledoit, Michael Wolf, Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly, Journal of Financial Econometrics, Volume 19, Issue 2, Spring 2021, Pages 236–257
post/assets/covariance/matrix/forecast/sma
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- URLhttps://api.portfoliooptimizer.io/v1/assets/covariance/matrix/forecast/sma
- AuthAPI key in header X-API-Key
Request body
Response
OK
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