action portfoliooptimizer_post_portfolio_construction_mimicking {
  label: "Mimicking Portfolio"
  description: "Construct a portfolio as close as possible, in terms of returns, to a benchmark, optionally subject to:\n* Minimum and maximum weights constraints\n* Maximum group weights constraints\n* Minimum and maximum portfolio exposure constraints\n\nReferences \n* Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar, Optimization Methods for Financial Index Tracking: From Theory to Practice, now publishers Inc (7 juin 2018)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/construction/mimicking"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "benchmarkReturns"]
    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"
              }
            }
          }
        }
      }
      benchmarkReturns: {
        type: "array"
        description: "benchmarkReturns[t] is the return of the benchmark at the time t; the benchmarkReturns array must have the same length as all the assetReturns arrays"
        items: {
          type: "number"
        }
      }
      constraints: {
        type: "object"
        properties: {
          assetsGroups: {
            type: "array"
            items: {
              type: "array"
              description: "assetsGroups[k] is the indexes of the assets belonging to the assets group k in the portfolio; exclusive with assetsGroupsMatrix"
              items: {
                type: "integer"
              }
            }
          }
          assetsGroupsMatrix: {
            type: "array"
            description: "assetsGroupsMatrix[k][i] is the weight of the asset i in the group of assets k; exclusive with assetsGroups"
            items: {
              type: "array"
              items: {
                type: "number"
              }
            }
          }
          maximumAssetsGroupsWeights: {
            type: "array"
            description: "maximumAssetsGroupsWeights[k] is the maximum weight of the assets group k in the portfolio, in percentage between 0 and 1 if assetsGroups is provided"
            items: {
              type: "number"
            }
          }
          maximumAssetsWeights: {
            type: "array"
            description: "maximumAssetsWeights[i] is the maximum weight of the asset i in the portfolio, in percentage"
            items: {
              type: "number"
            }
          }
          maximumPortfolioExposure: {
            type: "number"
            description: "The maximum portfolio exposure; must be higher than or equal to minimumPortfolioExposure"
          }
          minimumAssetsWeights: {
            type: "array"
            description: "minimumAssetsWeights[i] is the minimum weight of the asset i in the portfolio, in percentage"
            items: {
              type: "number"
            }
          }
          minimumPortfolioExposure: {
            type: "number"
            description: "The minimum portfolio exposure; must be lower than or equal to maximumPortfolioExposure"
          }
        }
      }
    }
  }
  output: {
    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"
        }
      }
    }
  }
}