action portfoliooptimizer_post_portfolio_analysis_ulcer_index {
  label: "Ulcer Index"
  description: "Compute the Ulcer Index of one or several portfolio(s).\n\nReferences\n* Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution\n* [Peter G. Martin, Ulcer Index, An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance](http://www.tangotools.com/ui/ui.htm)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/analysis/ulcer-index"
  encoding: json
  input: {
    type: "object"
    required: ["portfolios", "riskFreeRate"]
    properties: {
      portfolios: {
        type: "array"
        items: {
          type: "object"
          required: ["portfolioValues"]
          properties: {
            portfolioValues: {
              type: "array"
              description: "portfolioValues[t] is the value of the portfolio at the time t"
              items: {
                type: "number"
              }
            }
          }
        }
      }
      riskFreeRate: {
        type: "number"
        description: "The risk free rate"
      }
    }
  }
  output: {
    type: "object"
    required: ["portfolios"]
    properties: {
      portfolios: {
        type: "array"
        items: {
          type: "object"
          required: ["portfolioUlcerIndex"]
          properties: {
            portfolioUlcerIndex: {
              type: "number"
              description: "The Ulcer Index of the portfolio"
            }
          }
        }
      }
    }
  }
}