POportfoliooptimizer
Portfolio Analysis / Mean-Variance

Mean-Variance Minimum Variance Frontier

Changed on

Compute the discretized mean-variance minimum variance 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

This endpoint is similar to the endpoint /portfolio/analysis/mean-variance/efficient-frontier, because the mean-variance efficient frontier is the "top" portion of the mean-variance minimum variance frontier.

References

  • Harry M. Markowitz, Portfolio Selection, Efficient Diversification of Investments, Second edition, Blackwell Publishers Inc.
post/portfolios/analysis/mean-variance/minimum-variance-frontier

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/portfolios/analysis/mean-variance/minimum-variance-frontier
  • 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

portfoliosinteger

The number of portfolios to compute on the mean-variance minimum variance frontier

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

      endpoint added