Skip to main content
POST
/
quantlib
/
risk
/
var
/
es-optimization
Expected Shortfall Portfolio Optimization
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/var/es-optimization \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "returns": [
    [
      0.012,
      -0.025,
      0.018,
      -0.015,
      0.022
    ],
    [
      0.008,
      -0.018,
      0.015,
      -0.012,
      0.019
    ],
    [
      0.015,
      -0.032,
      0.022,
      -0.02,
      0.025
    ]
  ],
  "confidence": 0.95,
  "target_return": 0.1
}
'
{
  "success": true,
  "data": {
    "cvar_per_asset": [
      0.0245,
      0.0182,
      0.0315
    ],
    "confidence": 0.95
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
returns
number[][]
required

Array of return series, one for each asset

Example:
[
  [0.01, -0.02, 0.015],
  [0.005, -0.015, 0.012]
]
​
confidence
number
default:0.95

Confidence level for CVaR calculation

Example:

0.95

​
target_return
number | null

Target portfolio return for optimization (optional)

Example:

0.08

Response

CVaR per asset

​
success
boolean
Example:

true

​
data
object