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Portfolio Optimization

Risk Budgeting Portfolio

Compute the asset weights of the risk budgeting portfolio, optionally subject to:

  • Minimum and maximum weights constraints

References

post/portfolios/optimization/risk-budgeting

Request body

assetsinteger required

The number of assets

assetsRiskBudgetsnumber[] required

assetsRiskBudgets[i] is the risk budget allocated to the asset i, in percentage; the sum of all the assetsRiskBudgets must be equal to 1

Response

OK

assetsWeightsnumber[] required

assetsWeights[i] is the weight of the asset i in the portfolio, in percentage

Changes

No recorded changes to this endpoint across all 11 revisions of this API.