action portfoliooptimizer_post_assets_covariance_matrix_exponentially_weighted {
  label: "Exponentially Weighted Covariance Matrix"
  description: "Compute an exponentially weighted covariance matrix of assets returns.\n\nReferences\n* [RiskMetrics Group. Longerstaey, J. (1996). RiskMetrics technical document, Technical Report fourth edition](https://www.msci.com/documents/10199/5915b101-4206-4ba0-aee2-3449d5c7e95a)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/covariance/matrix/exponentially-weighted"
  encoding: json
  input: {
    type: "object"
    required: ["assets"]
    properties: {
      assets: {
        type: "array"
        items: {
          type: "object"
          required: ["assetReturns"]
          properties: {
            assetReturns: {
              type: "array"
              description: "assetReturns[t] is the return of the asset at the time t; all the assetReturns arrays must have the same length"
              items: {
                type: "number"
              }
            }
          }
        }
      }
      decayFactor: {
        type: "number"
        description: "The exponential decay factor"
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsCovarianceMatrix"]
    properties: {
      assetsCovarianceMatrix: {
        type: "array"
        description: "assetsCovarianceMatrix[i][j] is the sample covariance between the asset i returns and the asset j returns"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}