action portfoliooptimizer_post_portfolio_construction_investable {
  label: "Investable Portfolio"
  description: "Compute an investable portfolio as close as possible, in terms of assets weights, to a desired portfolio, taking into account:\n* The desired assets weights\n* The desired assets groups weights\n* The desired maximum assets groups weights\n* The prices of the assets\n* The portfolio value\n* The requirement to purchase some assets by round lots or by odd lots\n* The possibility to purchase some assets by a fractional quantity of shares\n* The requirement to purchase a minimum number of shares, or a minimum monetary value, for some assets\n\nReferences\n* [Steiner, Andreas, Accuracy and Rounding in Portfolio Construction](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2261131)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/construction/investable"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsPrices", "portfolioValue"]
    properties: {
      assets: {
        type: "integer"
        description: "The number of assets"
      }
      assetsGroups: {
        type: "array"
        items: {
          type: "array"
          description: "assetsGroups[k] is the indexes of the assets belonging to the assets group k in the portfolio; requires either assetsGroupsWeights or maximumAssetsGroupsWeights to be present"
          items: {
            type: "integer"
          }
        }
      }
      assetsGroupsWeights: {
        type: "array"
        description: "assetsGroupsWeights[i] is the desired weight of the assets group k in the portfolio, in percentage (can be null to indicate no specific desire); requires assetsGroups to be present"
        items: {
          type: "number"
        }
      }
      assetsMinimumNotionalValues: {
        type: "array"
        description: "assetsMinimumNotionalValues[i] is the minimum monetary value that the position in the asset i is required to represent when the asset i is included in the portfolio"
        items: {
          type: "number"
        }
      }
      assetsMinimumPositions: {
        type: "array"
        description: "assetsMinimumPositions[i] is the minimum number of shares of the asset i that is required to purchase when the asset i is included in the portfolio (usual values are the same as for assetsSizeLots)"
        items: {
          type: "number"
        }
      }
      assetsPrices: {
        type: "array"
        description: "assetsPrices[i] is the price of the asset i"
        items: {
          type: "number"
        }
      }
      assetsSizeLots: {
        type: "array"
        description: "assetsSizeLots[i] is the number of shares by which it is required to purchase the asset i (usual values are 1 if the asset needs to be purchased share by share, 100 if the asset needs to be purchased by an integer multiple of 100 shares, and 1/1000000 - e.g. for Robinhood broker - if the asset can be purchased by fractional shares)"
        items: {
          type: "number"
        }
      }
      assetsWeights: {
        type: "array"
        description: "assetsWeights[i] is the desired weight of the asset i in the portfolio, in percentage (can be null to indicate no specific desire)"
        items: {
          type: "number"
        }
      }
      maximumAssetsGroupsWeights: {
        type: "array"
        description: "maximumAssetsGroupsWeights[k] is the maximum desired weight of the assets group k in the portfolio, in percentage (can be null to indicate no specific desire); requires assetsGroups to be present"
        items: {
          type: "number"
        }
      }
      portfolioValue: {
        type: "number"
        description: "The monetary value of the portfolio"
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsPositions", "assetsWeights"]
    properties: {
      assetsPositions: {
        type: "array"
        description: "assetsPositions[i] is the number of shares of the asset i in the portfolio"
        items: {
          type: "number"
        }
      }
      assetsWeights: {
        type: "array"
        description: "assetsWeights[i] is the weight of the asset i in the portfolio, in percentage"
        items: {
          type: "number"
        }
      }
    }
  }
}