action portfoliooptimizer_post_portfolio_analysis_effective_number_of_bets {
  label: "Effective Number of Bets"
  description: "Compute the effective number of bets of one or several portfolio(s).\n\nReferences\n* [Meucci, Attilio and Santangelo, Alberto and Deguest, Romain, Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors (November 10, 2015)](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2276632)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/analysis/effective-number-of-bets"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsCovarianceMatrix", "portfolios"]
    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"
          }
        }
      }
      factorsExtractionMethod: {
        type: "string"
        description: "The method used to extract the uncorrelated risk factors from the asset covariance matrix"
        enum: ["principalComponentAnalysis", "exactMinimumLinearTorsion", "approximateMinimumLinearTorsion"]
      }
      portfolios: {
        type: "array"
        items: {
          type: "object"
          required: ["assetsWeights"]
          properties: {
            assetsWeights: {
              type: "array"
              description: "assetsWeights[i] is the weight of the asset i in the portfolio, in percentage"
              items: {
                type: "number"
              }
            }
          }
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["portfolios"]
    properties: {
      portfolios: {
        type: "array"
        items: {
          type: "object"
          required: ["portfolioEffectiveNumberOfBets"]
          properties: {
            portfolioEffectiveNumberOfBets: {
              type: "number"
              description: "The effective number of bets of the portfolio"
            }
          }
        }
      }
    }
  }
}