action portfoliooptimizer_post_assets_correlation_matrix_shrinkage {
  label: "Correlation Matrix Shrinkage"
  description: "Compute an asset correlation matrix as a convex linear combination of an asset correlation matrix and a target correlation matrix, the target correlation matrix being either:  \n * An equicorrelation matrix made of 1\n * An equicorrelation matrix made of 0\n * An equicorrelation matrix made of -1/(n-1), with n the number of assets\n * A provided correlation matrix\n \n References\n * [Steiner, Andreas, Manipulating Valid Correlation Matrices](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1878165)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/correlation/matrix/shrinkage"
  encoding: json
  input: {
    type: "object"
  }
  output: {
    type: "object"
    required: ["assetsCorrelationMatrix"]
    properties: {
      assetsCorrelationMatrix: {
        type: "array"
        description: "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}