POportfoliooptimizer
Portfolio Analysis / Mean-Variance

Resampling-Based Mean-Variance Efficient Frontier

Changed on

Compute the discretized resampling-based mean-variance efficient frontier associated to a list of assets, optionally subject to:

  • Minimum and maximum weights constraints
  • Minimum and maximum group weights constraints
  • Minimum and maximum portfolio exposure constraint

References

post/portfolios/analysis/mean-variance/efficient-frontier/resampling-based

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/portfolios/analysis/mean-variance/efficient-frontier/resampling-based
  • Auth
    API key in header X-API-Key

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the arithmetic (expected) return of asset i

simulatedEfficientFrontiersinteger

The number of efficient frontiers to simulate

simulatedEfficientFrontiersAggregationMethod'average' | 'median'

The method to aggregate the simulated efficient frontiers

simulatedEfficientFrontiersDiscretizationMethod'rankAssociation' | 'lambdaAssociation'

The method to discretize the simulated efficient frontiers

assetsCorrelationMatrixUncertaintyLevelnumber

The uncertainty level on the coefficients of the asset correlation matrix associated to assetsCovarianceMatrix; defaults to 0.10

Response

OK

Changes

  • 614076795988Revision changes
    • breaking

      added the new required request property

    • breaking

      removed the required property // from the response with the status

    • warning

      removed the request property

    • info

      added the required property // to the response with the status

  • 24e65d80f8ebRevision changes
    • info

      api tag Portfolio Analysis / Mean-Variance added

    • info

      api tag Portfolio Analysis removed