Risk Contributions

v1.0.0

Perform a risk contribution analysis of one or several portfolio(s), optionally using groups of assets.

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution

Input

{
  "type": "object",
  "required": [
    "assets",
    "assetsCovarianceMatrix",
    "portfolios"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "assetsCovarianceMatrix": {
      "type": "array",
      "description": "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsGroups": {
      "type": "array",
      "items": {
        "type": "array",
        "description": "assetsGroups[k] is the indexes of the assets belonging to the assets group k",
        "items": {
          "type": "integer"
        }
      }
    },
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetsWeights"
        ],
        "properties": {
          "assetsWeights": {
            "type": "array",
            "description": "assetsWeights[i] is the weight of the asset i in the portfolio, in percentage",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "assetsRiskContributions"
        ],
        "properties": {
          "assetsGroupsRiskContributions": {
            "type": "array",
            "description": "assetsGroupsRiskContributions[k] is the risk contribution of the group of assets k to the risk of the portfolio",
            "items": {
              "type": "number"
            }
          },
          "assetsRiskContributions": {
            "type": "array",
            "description": "assetsRiskContributions[i] is the risk contribution of the asset i to the risk of the portfolio",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}