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POST
/
quantlib
/
portfolio
/
risk
/
inverse-volatility
Inverse Volatility Weights
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/portfolio/risk/inverse-volatility \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "covariance_matrix": [
    [
      0.04,
      0.006,
      0.008,
      0.01
    ],
    [
      0.006,
      0.09,
      0.012,
      0.015
    ],
    [
      0.008,
      0.012,
      0.0625,
      0.018
    ],
    [
      0.01,
      0.015,
      0.018,
      0.16
    ]
  ]
}
'
{
  "success": true,
  "data": {
    "weights": [
      0.38,
      0.22,
      0.27,
      0.13
    ]
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
covariance_matrix
number[][]
required

Asset covariance matrix (annualized). Only diagonal elements (variances) are used.

Example:
[
  [0.04, 0.006, 0.008, 0.01],
  [0.006, 0.09, 0.012, 0.015],
  [0.008, 0.012, 0.0625, 0.018],
  [0.01, 0.015, 0.018, 0.16]
]

Response

Inverse volatility weights successfully calculated

​
success
boolean
Example:

true

​
data
object