---
title: "Maximum Decorrelation Portfolio"
method: POST
path: "/portfolios/optimization/maximum-decorrelation"
tags: ["Portfolio Optimization"]
---

# Maximum Decorrelation Portfolio

`POST /portfolios/optimization/maximum-decorrelation`

Compute the asset weights of the maximum decorrelation portfolio, optionally subject to:  
* Minimum and maximum weights constraints
* Minimum and maximum group weights constraints
* Minimum and maximum portfolio exposure constraints

References
 * [F. Goltz, S. Sivasubramanian, Scientific Beta Maximum Decorrelation Indices](http://www.scientificbeta.com/download/file/scientific-beta-max-decorrelation-indices)

## Request body

- object
  - `assets` integer, required — The number of assets
  - `assetsCorrelationMatrix` array[], required — assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j
    - number[]
  - `constraints` object
    - `minimumAssetsWeights` number[] — minimumAssetsWeights[i] is the minimum weight of the asset i in the portfolio, in percentage
    - `maximumAssetsWeights` number[] — maximumAssetsWeights[i] is the maximum weight of the asset i in the portfolio, in percentage
    - `assetsGroups` array[]
      - integer[] — assetsGroups[k] is the indexes of the assets belonging to the assets group k in the portfolio; exclusive with assetsGroupsMatrix
    - `assetsGroupsMatrix` array[] — assetsGroupsMatrix[k][i] is the weight of the asset i in the group of assets k; exclusive with assetsGroups
      - number[]
    - `maximumAssetsGroupsWeights` number[] — maximumAssetsGroupsWeights[k] is the maximum weight of the assets group k in the portfolio, in percentage between 0 and 1 if assetsGroups is provided
    - `minimumPortfolioExposure` number — The minimum portfolio exposure; must be lower than or equal to maximumPortfolioExposure
    - `maximumPortfolioExposure` number — The maximum portfolio exposure; must be higher than or equal to minimumPortfolioExposure

## Response `200`

OK

- object
  - `assetsWeights` number[], required — assetsWeights[i] is the weight of the asset i in the portfolio, in percentage

---

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