action portfoliooptimizer_post_assets_correlation_matrix_bounds {
  label: "Correlation Matrix Bounds"
  description: "Compute the lower bounds and the upper bounds of an asset correlation matrix associated to a given group of assets.\n \n References\n * [Kawee Numpacharoen & Kornkanok Bunwong (2013) Boundaries of Correlation Adjustment with Applications to Financial Risk Management, Applied Mathematical Finance, 20:4, 403-414](http://dx.doi.org/10.1080/1350486X.2012.723517).\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/correlation/matrix/bounds"
  encoding: json
  input: {
    required: ["assets", "assetsCorrelationMatrix", "assetsGroup"]
    properties: {
      assets: {
        type: "integer"
      }
      assetsCorrelationMatrix: {
        type: "array"
        description: "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      assetsGroup: {
        type: "array"
        description: "assetsGroup[k] is the indexes of the assets belonging to the assets group"
        items: {
          type: "integer"
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsCorrelationMatrixLowerBounds", "assetsCorrelationMatrixUpperBounds"]
    properties: {
      assetsCorrelationMatrixLowerBounds: {
        type: "array"
        description: "assetsCorrelationMatrixLowerBounds[i][j] is the lower bound of the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      assetsCorrelationMatrixUpperBounds: {
        type: "array"
        description: "assetsCorrelationMatrixUpperBounds[i][j] is the upper bound of the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}