action portfoliooptimizer_post_portfolio_optimization_maximum_ulcer_performance_index {
  label: "Maximum Ulcer Performance Index Portfolio"
  description: "Compute the asset weights of the maximum Ulcer Performance Index portfolio, optionally subject to:  \n* Minimum and maximum weights constraints\n* Maximum group weights constraints\n* Minimum and maximum portfolio exposure constraints\n\nNotes:  \n* This endpoint will return an error if the maximum Ulcer Performance Index portfolio has a negative Ulcer Performance Index\n\nReferences\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 * [A. Chekhlov, S. Uryasev, M. Zabarankin, Portfolio Optimization with Drawdown Constraints, Supply Chain and Finance, p 209-228](https://doi.org/10.1142/9789812562586_0013)\n * [A. Chekhlov, S. Uryasev, M. Zabarankin, Drawdown Measure in Portfolio Optimization, International Journal of Theoretical and Applied FinanceVol. 08, No. 01, pp. 13-58 (2005)](https://www.worldscientific.com/doi/10.1142/S0219024905002767)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/portfolio/optimization/maximum-ulcer-performance-index"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "riskFreeRate"]
    properties: {
      assets: {
        type: "array"
        items: {
          type: "object"
          required: ["assetPrices"]
          properties: {
            assetPrices: {
              type: "array"
              description: "assetPrices[t] is the price of the asset at the time t"
              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"
          }
        }
      }
      riskFreeRate: {
        type: "number"
        description: "The risk free rate"
      }
    }
  }
  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"
        }
      }
    }
  }
}