action portfoliooptimizer_post_portfolio_analysis_value_at_risk {
  label: "Value At Risk"
  description: "Compute the value at risk of one or several portfolio(s) from portfolio values.\n\nReferences\n* [Wikipedia, Value at risk](https://en.wikipedia.org/wiki/Value_at_risk)\n* [Acerbi, C. and Tasche, D. (2002), Expected Shortfall: A Natural Coherent Alternative to Value at Risk. Economic Notes, 31: 379-388](https://onlinelibrary.wiley.com/doi/abs/10.1111/1468-0300.00091)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/analysis/value-at-risk"
  encoding: json
  input: {
    type: "object"
    required: ["alpha", "portfolios"]
    properties: {
      alpha: {
        type: "number"
        description: "The value at risk level"
      }
      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"
              }
            }
          }
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["portfolios"]
    properties: {
      portfolios: {
        type: "array"
        items: {
          type: "object"
          required: ["portfolioValueAtRisk"]
          properties: {
            portfolioValueAtRisk: {
              type: "number"
              description: "The value at risk of the portfolio"
            }
          }
        }
      }
    }
  }
}