action portfoliooptimizer_post_assets_analysis_absorption_ratio {
  label: "Absorption Ratio"
  description: "Compute the absorption ratio associated to a universe of assets.\n\nReferences\n* [Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon, Principal Components as a Measure of Systemic Risk, The Journal of Portfolio Management Summer 2011, 37 (4) 112-126](https://jpm.pm-research.com/content/37/4/112)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/analysis/absorption-ratio"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsCovarianceMatrix"]
    properties: {
      assets: {
        type: "integer"
        description: "The number of assets"
      }
      assetsCovarianceMatrix: {
        type: "array"
        description: "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      assetsCovarianceMatrixEigenvectors: {
        type: "object"
        properties: {
          eigenvectorsRetained: {
            type: "integer"
            description: "The number of eigenvectors to retain in the numerator of the absorption ratio, which must be lower than the number of assets; defaults to [1/5-th] the number of assets"
          }
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsAbsorptionRatio"]
    properties: {
      assetsAbsorptionRatio: {
        type: "number"
        description: "The absorption ratio of the universe of assets"
      }
    }
  }
}