Maximum Sharpe Ratio Portfolio

curl --request POST \
  --url https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "expected_returns": [
    0.08,
    0.12,
    0.1,
    0.15
  ],
  "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
    ]
  ],
  "rf_rate": 0.03,
  "min_weights": [
    0,
    0,
    0,
    0
  ],
  "max_weights": [
    0.5,
    0.5,
    0.5,
    0.5
  ]
}
'

import requests

url = "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe"

payload = {
    "expected_returns": [0.08, 0.12, 0.1, 0.15],
    "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]],
    "rf_rate": 0.03,
    "min_weights": [0, 0, 0, 0],
    "max_weights": [0.5, 0.5, 0.5, 0.5]
}
headers = {
    "X-API-Key": "<api-key>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    expected_returns: [0.08, 0.12, 0.1, 0.15],
    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]
    ],
    rf_rate: 0.03,
    min_weights: [0, 0, 0, 0],
    max_weights: [0.5, 0.5, 0.5, 0.5]
  })
};

fetch('https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'expected_returns' => [
        0.08,
        0.12,
        0.1,
        0.15
    ],
    '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
        ]
    ],
    'rf_rate' => 0.03,
    'min_weights' => [
        0,
        0,
        0,
        0
    ],
    'max_weights' => [
        0.5,
        0.5,
        0.5,
        0.5
    ]
  ]),
  CURLOPT_HTTPHEADER => [
    "Content-Type: application/json",
    "X-API-Key: <api-key>"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe"

	payload := strings.NewReader("{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("X-API-Key", "<api-key>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}"

response = http.request(request)
puts response.read_body

{
  "success": true,
  "data": {
    "weights": [
      0.25,
      0.35,
      0.3,
      0.1
    ],
    "expected_return": 0.1125,
    "volatility": 0.2156,
    "sharpe_ratio": 0.3826
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "expected_returns"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

quantlib-portfolio

Maximum Sharpe Ratio Portfolio

Constructs the maximum Sharpe ratio portfolio, also known as the tangency portfolio. This portfolio maximizes risk-adjusted returns and represents the optimal risky portfolio in mean-variance theory.

Use Cases:

Constructing the optimal risky portfolio for two-fund separation
Maximizing risk-adjusted returns in active management
Identifying the market portfolio in CAPM framework
Benchmark for performance evaluation

Mathematical Background: Maximizes: (R_p - R_f) / σ_p Subject to: Σw_i = 1, and optional constraints

Where R_p is portfolio return, R_f is risk-free rate, and σ_p is portfolio volatility.

Credits: 5 per request [Tier: PRO, Credits: 5]

POST

quantlib

portfolio

optimize

max-sharpe

Maximum Sharpe Ratio Portfolio

curl --request POST \
  --url https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "expected_returns": [
    0.08,
    0.12,
    0.1,
    0.15
  ],
  "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
    ]
  ],
  "rf_rate": 0.03,
  "min_weights": [
    0,
    0,
    0,
    0
  ],
  "max_weights": [
    0.5,
    0.5,
    0.5,
    0.5
  ]
}
'

import requests

url = "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe"

payload = {
    "expected_returns": [0.08, 0.12, 0.1, 0.15],
    "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]],
    "rf_rate": 0.03,
    "min_weights": [0, 0, 0, 0],
    "max_weights": [0.5, 0.5, 0.5, 0.5]
}
headers = {
    "X-API-Key": "<api-key>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    expected_returns: [0.08, 0.12, 0.1, 0.15],
    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]
    ],
    rf_rate: 0.03,
    min_weights: [0, 0, 0, 0],
    max_weights: [0.5, 0.5, 0.5, 0.5]
  })
};

fetch('https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'expected_returns' => [
        0.08,
        0.12,
        0.1,
        0.15
    ],
    '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
        ]
    ],
    'rf_rate' => 0.03,
    'min_weights' => [
        0,
        0,
        0,
        0
    ],
    'max_weights' => [
        0.5,
        0.5,
        0.5,
        0.5
    ]
  ]),
  CURLOPT_HTTPHEADER => [
    "Content-Type: application/json",
    "X-API-Key: <api-key>"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe"

	payload := strings.NewReader("{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("X-API-Key", "<api-key>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.fincept.in/quantlib/portfolio/optimize/max-sharpe")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"expected_returns\": [\n    0.08,\n    0.12,\n    0.1,\n    0.15\n  ],\n  \"covariance_matrix\": [\n    [\n      0.04,\n      0.006,\n      0.008,\n      0.01\n    ],\n    [\n      0.006,\n      0.09,\n      0.012,\n      0.015\n    ],\n    [\n      0.008,\n      0.012,\n      0.0625,\n      0.018\n    ],\n    [\n      0.01,\n      0.015,\n      0.018,\n      0.16\n    ]\n  ],\n  \"rf_rate\": 0.03,\n  \"min_weights\": [\n    0,\n    0,\n    0,\n    0\n  ],\n  \"max_weights\": [\n    0.5,\n    0.5,\n    0.5,\n    0.5\n  ]\n}"

response = http.request(request)
puts response.read_body

{
  "success": true,
  "data": {
    "weights": [
      0.25,
      0.35,
      0.3,
      0.1
    ],
    "expected_return": 0.1125,
    "volatility": 0.2156,
    "sharpe_ratio": 0.3826
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "expected_returns"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

Authorizations

X-API-Key

string

header

required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

expected_returns

number[]

required

Expected returns for each asset (annualized)

Example:

[0.08, 0.12, 0.1, 0.15]

covariance_matrix

number[][]

required

Asset covariance matrix (annualized)

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]
]

rf_rate

number

default:0

Risk-free rate (annualized). Critical for Sharpe ratio calculation.

Example:

0.03

min_weights

number[] | null

Minimum weight constraints for each asset

Example:

[0, 0, 0, 0]

max_weights

number[] | null

Maximum weight constraints for each asset

Example:

[0.5, 0.5, 0.5, 0.5]

Response

Maximum Sharpe ratio portfolio successfully optimized

success

boolean

Example:

true

data

object

Show child attributes

Free Tier (0 credits)

Basic Tier (1 credit)

Standard Tier (2 credits)

Pro Tier (5 credits)

Enterprise Tier (10 credits)

Maximum Sharpe Ratio Portfolio

Authorizations

Body

Response