action portfoliooptimizer_post_assets_covariance_matrix_effective_rank {
  label: "Covariance Matrix Effective Rank"
  description: "Compute the effective rank of an asset covariance matrix.\n\nReferences\n* [Olivier Roy and Martin Vetterli, The effective rank: A measure of effective dimensionality, 15th European Signal Processing Conference, 2007](https://ieeexplore.ieee.org/document/7098875)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/covariance/matrix/effective-rank"
  encoding: json
  input: {
    required: ["assets", "assetsCovarianceMatrix"]
    properties: {
      assets: {
        type: "integer"
        description: "The number of assets"
      }
      assetsCovarianceMatrix: {
        type: "array"
        description: "assetsCovarianceMatrix[i][j] is the covariance between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsCovarianceMatrixEffectiveRank"]
    properties: {
      assetsCovarianceMatrixEffectiveRank: {
        type: "array"
        description: "The effective rank of the asset covariance matrix"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}