action portfoliooptimizer_post_assets_correlation_matrix_denoised {
  label: "Denoised Correlation Matrix"
  description: "Compute a denoised asset correlation matrix, using one of the following methods:\n * The eigenvalues clipping method, described in the first reference, which is based on random matrix theory\n \n References\n * [Laurent Laloux, Pierre Cizeau, Jean-Philippe Bouchaud, and Marc Potters, Noise Dressing of Financial Correlation Matrices, Phys. Rev. Lett. 83, 1467](https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.83.1467)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/correlation/matrix/denoised"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsCorrelationMatrix", "assetsCorrelationMatrixAspectRatio"]
    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"
          }
        }
      }
      assetsCorrelationMatrixAspectRatio: {
        type: "number"
        description: "The aspect ratio of the asset correlation matrix, defined as the number of assets divided by the number of asset returns per asset used to compute the asset correlation matrix"
      }
      denoisingMethod: {
        type: "string"
        description: "The method used to denoise the asset correlation matrix"
        enum: ["eigenvaluesClipping"]
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsCorrelationMatrix"]
    properties: {
      assetsCorrelationMatrix: {
        type: "array"
        description: "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j; assetsCorrelationMatrix is possibly null in case the denoising method did not manage to denoise the provided asset correlation matrix"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}