POportfoliooptimizer
Factors

Residualization

Changed on

Compute the residuals of a factor against a set of factors, using a returns-based linear regression analysis.

References

post/factors/residualization

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/factors/residualization
  • Auth
    API key in header X-API-Key

Request body

riskFreeReturnnumber

The constant risk-free arithmetic return over the considered time period, in percentage; exclusive with riskFreeReturns

riskFreeReturnsnumber[]

riskFreeReturns[t] is the risk-free arithmetic return at the time t; the riskFreeReturns array must have the same length, equal to that of the dependentFactorReturns array; exclusive with riskFreeReturn

dependentFactorResidualizationMethod'ordinaryLeastSquares' | 'robustLeastSquares'

The method to use to residualize the desired factor

Response

OK

Changes

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      added the new optional request property