Minimum Correlation Portfolio

v1.0.0

Compute the asset weights of the (heuristic) minimum correlation portfolio, which is a portfolio built using the Minimum Correlation Algorithm discovered by .

References

Input

{
  "type": "object",
  "required": [
    "assets",
    "assetsCorrelationMatrix",
    "assetsVolatilities"
  ],
  "properties": {
    "assets": {
      "type": "integer"
    },
    "assetsCorrelationMatrix": {
      "type": "array",
      "description": "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j; required if assetsReturns is not provided",
      "items": {
        "type": "array",
        "items": {
          "type": "number"
        }
      }
    },
    "assetsVolatilities": {
      "type": "array",
      "description": "assetsVariances[i] is the volatility of the asset i; required if assetsCorrelationMatrix is provided and assetsVariances is not provided",
      "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"
      }
    }
  }
}