Inverse Variance Weighted Portfolio

v1.0.0

Compute the asset weights of the inverse variance-weighted portfolio.

References

Input

{
  "type": "object",
  "required": [
    "assets",
    "assetsVariances"
  ],
  "properties": {
    "assets": {
      "type": "integer",
      "description": "The number of assets"
    },
    "assetsVariances": {
      "type": "array",
      "description": "assetsVariances[i] is the variance of the asset i",
      "items": {
        "type": "number"
      }
    }
  }
}

Output

{
  "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"
      }
    }
  }
}