@railpath/finance-toolkit/dist/schemas/PortfolioOptimizationResultSchema.js

Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.PortfolioOptimizationResultSchema = void 0;
const zod_1 = require("zod");
exports.PortfolioOptimizationResultSchema = zod_1.z.object({
    /**
     * Optimal weights for each asset
     */
    weights: zod_1.z.array(zod_1.z.number()),
    /**
     * Expected portfolio return
     */
    expectedReturn: zod_1.z.number(),
    /**
     * Portfolio variance
     */
    variance: zod_1.z.number(),
    /**
     * Portfolio volatility (standard deviation)
     */
    volatility: zod_1.z.number(),
    /**
     * Sharpe ratio (if risk-free rate provided)
     */
    sharpeRatio: zod_1.z.number().optional(),
    /**
     * Optimization method used
     */
    method: zod_1.z.enum(['minimumVariance', 'maximumSharpe', 'targetReturn']),
    /**
     * Convergence information
     */
    converged: zod_1.z.boolean(),
    iterations: zod_1.z.number().optional(),
    /**
     * Lagrange multipliers for constraints
     */
    lagrangeMultipliers: zod_1.z.array(zod_1.z.number()).optional(),
});