action portfoliooptimizer_post_assets_correlation_matrix_theory_implied {
  label: "Theory-Implied Correlation Matrix"
  description: "Compute the theory-implied asset correlation matrix associated with:\n* A hierarchical classification of a universe of assets\n* An asset correlation matrix\n\nReferences\n* [Lopez de Prado, Marcos Estimation of Theory-Implied Correlation Matrices (November 9, 2019)](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3484152)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/correlation/matrix/theory-implied"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsCorrelationMatrix"]
    properties: {
      assets: {
        type: "array"
        items: {
          type: "object"
          required: ["assetHierarchicalClassification"]
          properties: {
            assetHierarchicalClassification: {
              type: "array"
              description: "assetHierarchicalClassification[i] is the i+1-th level of the hierarchical classification of the asset, from the most generic classification to the most specific classification; all the assetHierarchicalClassification arrays must have the same length"
              items: {
                type: "object"
              }
            }
          }
        }
      }
      assetsCorrelationMatrix: {
        type: "array"
        description: "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      clusteringMethod: {
        type: "string"
        description: "The hierarchical clustering method to use"
        enum: ["singleLinkage", "averageLinkage", "completeLinkage", "wardLinkage"]
      }
    }
  }
  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"
          }
        }
      }
    }
  }
}