Random Portfolio

v1.0.0

Construct one or several random portfolio(s), optionally subject to:

Minimum and maximum weights constraints
Minimum and maximum portfolio exposure constraints

Because of the nature of the endpoint, subsequent calls with the same input data will result in different output data.

References

Input

{
  "type": "object",
  "required": [
    "assets"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "constraints": {
      "type": "object",
      "properties": {
        "maximumAssetsWeights": {
          "type": "array",
          "description": "maximumAssetsWeights[i] is the maximum weight of the asset i in the portfolio, in percentage",
          "items": {
            "type": "number"
          }
        },
        "maximumPortfolioExposure": {
          "type": "number",
          "description": "The maximum portfolio exposure; must be higher than or equal to minimumPortfolioExposure"
        },
        "minimumAssetsWeights": {
          "type": "array",
          "description": "minimumAssetsWeights[i] is the minimum weight of the asset i in the portfolio, in percentage",
          "items": {
            "type": "number"
          }
        },
        "minimumPortfolioExposure": {
          "type": "number",
          "description": "The minimum portfolio exposure; must be lower than or equal to maximumPortfolioExposure"
        }
      }
    },
    "portfolios": {
      "type": "integer",
      "description": "The number of portfolios to construct"
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "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"
            }
          }
        }
      }
    }
  }
}