Effective Number of Bets

{
  "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"
        }
      }
    },
    "factorsExtractionMethod": {
      "type": "string",
      "description": "The method used to extract the uncorrelated risk factors from the asset covariance matrix",
      "enum": [
        "principalComponentAnalysis",
        "exactMinimumLinearTorsion",
        "approximateMinimumLinearTorsion"
      ]
    },
    "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"
            }
          }
        }
      }
    }
  }
}