action portfoliooptimizer_post_assets_analysis_turbulence_index {
  label: "Turbulence Index"
  description: "Compute the turbulence index associated to a universe of assets.\n\nReferences\n* [M. Kritzman, Y. Li, Skulls, Financial Turbulence, and Risk Management,Financial Analysts Journal, Volume 66, Number 5, Pages 30-41, Year 2010](https://www.tandfonline.com/doi/abs/10.2469/faj.v66.n5.3)\n* [Kinlaw, W., Turkington, D. Correlation surprise. J Asset Manag 14, 385–399 (2013)](https://link.springer.com/article/10.1057/jam.2013.27)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/analysis/turbulence-index"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsAverageReturns", "assetsCovarianceMatrix", "assetsReturns"]
    properties: {
      assets: {
        type: "integer"
        description: "The number of assets"
      }
      assetsAverageReturns: {
        type: "array"
        description: "assetsAverageReturns[i] is the average return of asset i over an historical reference period"
        items: {
          type: "number"
        }
      }
      assetsCovarianceMatrix: {
        type: "array"
        description: "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j over an historical reference period"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      assetsReturns: {
        type: "array"
        description: "assetsReturns[i] is the return of asset i over a period different from the historical reference period"
        items: {
          type: "number"
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsTurbulenceIndex"]
    properties: {
      assetsTurbulenceIndex: {
        type: "number"
        description: "the turbulence index of the universe of assets"
      }
    }
  }
}