@adaptic/utils 0.0.369 → 0.0.373

package/dist/index.cjs

@@ -1408,11 +1408,16 @@ async function getConfiguration(account) {
             throw new Error('Failed to get Alpaca Account from @adaptic/backend-legacy.');
         }
         const dataFromAlpaca = (await alpacaResponse.json());
-        // Fetch allocation data if it exists
-        const allocationData = freshAlpacaAccount.allocation || {
+        // Fetch allocation data with expanded asset types and defaults
+        // Type assertion to handle fields that may not exist in backend-legacy yet
+        const accountWithAllocation = freshAlpacaAccount;
+        const allocationData = accountWithAllocation.allocation || {
             stocks: 70,
-            crypto: 30,
-            etfs: 10
+            options: 0,
+            futures: 0,
+            etfs: 10,
+            forex: 0,
+            crypto: 20
         };
         // Merge DB fields onto the returned object
         // (These are not part of Alpaca's config, but are stored in our DB)
@@ -1427,6 +1432,7 @@ async function getConfiguration(account) {
             cryptoTradingEnabled: freshAlpacaAccount.cryptoTradingEnabled ?? false,
             cryptoTradingPairs: freshAlpacaAccount.cryptoTradingPairs ?? [],
             cryptoTradeAllocationPct: freshAlpacaAccount.cryptoTradeAllocationPct ?? 5.0,
+            autoAllocation: accountWithAllocation.autoAllocation ?? false,
             allocation: allocationData,
             enablePortfolioTrailingStop: freshAlpacaAccount.enablePortfolioTrailingStop,
             portfolioTrailPercent: freshAlpacaAccount.portfolioTrailPercent,
@@ -1476,6 +1482,7 @@ async function updateConfiguration(user, account, updatedConfig) {
         delete configForAlpaca.cryptoTradingEnabled;
         delete configForAlpaca.cryptoTradingPairs;
         delete configForAlpaca.cryptoTradeAllocationPct;
+        delete configForAlpaca.autoAllocation;
         delete configForAlpaca.allocation;
         delete configForAlpaca.enablePortfolioTrailingStop;
         delete configForAlpaca.portfolioTrailPercent;
@@ -1504,6 +1511,16 @@ async function updateConfiguration(user, account, updatedConfig) {
         // Check if we need to update allocation
         let allocUpdatePromise = Promise.resolve(null);
         if (updatedConfig.allocation) {
+            // Validate allocation percentages sum to 100%
+            const totalAllocation = (updatedConfig.allocation.stocks ?? 0) +
+                (updatedConfig.allocation.options ?? 0) +
+                (updatedConfig.allocation.futures ?? 0) +
+                (updatedConfig.allocation.etfs ?? 0) +
+                (updatedConfig.allocation.forex ?? 0) +
+                (updatedConfig.allocation.crypto ?? 0);
+            if (Math.abs(totalAllocation - 100) > 0.01) {
+                throw new Error(`Allocation percentages must sum to 100%. Current total: ${totalAllocation}%`);
+            }
             // If account already has an allocation, update it, otherwise create one
             if (account.allocation) {
                 allocUpdatePromise = adaptic$1.allocation.update({
@@ -1512,16 +1529,22 @@ async function updateConfiguration(user, account, updatedConfig) {
                         id: account.id,
                     },
                     alpacaAccountId: account.id,
-                    stocks: updatedConfig.allocation.stocks,
-                    crypto: updatedConfig.allocation.crypto,
-                    etfs: updatedConfig.allocation.etfs,
+                    stocks: updatedConfig.allocation.stocks ?? 0,
+                    options: updatedConfig.allocation.options ?? 0,
+                    futures: updatedConfig.allocation.futures ?? 0,
+                    etfs: updatedConfig.allocation.etfs ?? 0,
+                    forex: updatedConfig.allocation.forex ?? 0,
+                    crypto: updatedConfig.allocation.crypto ?? 0,
                 }, client);
             }
             else {
                 allocUpdatePromise = adaptic$1.allocation.create({
-                    stocks: updatedConfig.allocation.stocks,
-                    crypto: updatedConfig.allocation.crypto,
-                    etfs: updatedConfig.allocation.etfs,
+                    stocks: updatedConfig.allocation.stocks ?? 0,
+                    options: updatedConfig.allocation.options ?? 0,
+                    futures: updatedConfig.allocation.futures ?? 0,
+                    etfs: updatedConfig.allocation.etfs ?? 0,
+                    forex: updatedConfig.allocation.forex ?? 0,
+                    crypto: updatedConfig.allocation.crypto ?? 0,
                     alpacaAccount: {
                         id: account.id,
                     },
@@ -1530,6 +1553,7 @@ async function updateConfiguration(user, account, updatedConfig) {
             }
         }
         // Meanwhile, update the DB-based fields in @adaptic/backend-legacy
+        // Use type assertion for fields that may not exist in backend-legacy yet
         const adapticUpdatePromise = adaptic$1.alpacaAccount.update({
             id: account.id,
             user: {
@@ -1546,6 +1570,7 @@ async function updateConfiguration(user, account, updatedConfig) {
             cryptoTradingEnabled: updatedConfig.cryptoTradingEnabled,
             cryptoTradingPairs: updatedConfig.cryptoTradingPairs,
             cryptoTradeAllocationPct: updatedConfig.cryptoTradeAllocationPct,
+            autoAllocation: updatedConfig.autoAllocation,
             enablePortfolioTrailingStop: updatedConfig.enablePortfolioTrailingStop,
             portfolioTrailPercent: updatedConfig.portfolioTrailPercent,
             portfolioProfitThresholdPercent: updatedConfig.portfolioProfitThresholdPercent,
@@ -1563,6 +1588,16 @@ async function updateConfiguration(user, account, updatedConfig) {
             adapticUpdatePromise,
             allocUpdatePromise
         ]);
+        console.log('=== PROMISE.ALL RESULTS ===');
+        console.log('updatedAllocation from Promise.all:', updatedAllocation);
+        console.log('updatedAllocation fields:', {
+            stocks: updatedAllocation?.stocks,
+            options: updatedAllocation?.options,
+            futures: updatedAllocation?.futures,
+            etfs: updatedAllocation?.etfs,
+            forex: updatedAllocation?.forex,
+            crypto: updatedAllocation?.crypto,
+        });
         if (!alpacaResponse.ok) {
             console.error('Failed to update account configuration at Alpaca:', alpacaResponse.statusText);
             throw new Error(`Failed to update account config at Alpaca: ${alpacaResponse.statusText}`);
@@ -1572,6 +1607,16 @@ async function updateConfiguration(user, account, updatedConfig) {
             throw new Error('Failed to update Alpaca Account in @adaptic/backend-legacy.');
         }
         // Merge final data from Alpaca + local DB fields
+        // Type assertion for fields that may not exist in backend-legacy yet
+        const updatedAccountWithAllocation = updatedAlpacaAccount;
+        // FIX: Use the validated input allocation instead of mutation response
+        // The mutation response may return stale/cached data, but we already validated
+        // and sent the correct values to the database, so use updatedConfig.allocation
+        const selectedAllocation = updatedConfig.allocation || updatedAllocation || updatedAccountWithAllocation.allocation;
+        console.log('=== ALLOCATION DEBUG (will be removed after fix verified) ===');
+        console.log('Using updatedConfig.allocation (validated input):', updatedConfig.allocation);
+        console.log('Ignoring potentially stale updatedAllocation:', updatedAllocation);
+        console.log('Final allocation:', selectedAllocation);
         const finalConfig = {
             ...alpacaData,
             marketOpen: updatedAlpacaAccount.marketOpen,
@@ -1583,7 +1628,8 @@ async function updateConfiguration(user, account, updatedConfig) {
             cryptoTradingEnabled: updatedAlpacaAccount.cryptoTradingEnabled,
             cryptoTradingPairs: updatedAlpacaAccount.cryptoTradingPairs,
             cryptoTradeAllocationPct: updatedAlpacaAccount.cryptoTradeAllocationPct,
-            allocation: updatedAllocation || updatedAlpacaAccount.allocation || updatedConfig.allocation,
+            autoAllocation: updatedAccountWithAllocation.autoAllocation,
+            allocation: selectedAllocation,
             enablePortfolioTrailingStop: updatedAlpacaAccount.enablePortfolioTrailingStop,
             portfolioTrailPercent: updatedAlpacaAccount.portfolioTrailPercent,
             portfolioProfitThresholdPercent: updatedAlpacaAccount.portfolioProfitThresholdPercent,
@@ -15604,6 +15650,1042 @@ const DEFAULT_CACHE_OPTIONS = {
     enableBackgroundRefresh: true,
 };
 
+/**
+ * Intelligent Asset Allocation Algorithm
+ *
+ * Determines optimal asset allocation across multiple asset classes based on:
+ * - User risk profile
+ * - Market conditions
+ * - Account size
+ * - User preferences
+ * - Modern Portfolio Theory principles
+ * - Risk-adjusted returns
+ * - Diversification optimization
+ */
+/**
+ * Asset Allocation Engine
+ *
+ * Implements sophisticated portfolio optimization using:
+ * - Mean-variance optimization
+ * - Risk parity approach
+ * - Black-Litterman model influences
+ * - Correlation-based diversification
+ * - Dynamic risk adjustment
+ */
+class AssetAllocationEngine {
+    config;
+    defaultConfig = {
+        objective: 'MAX_SHARPE',
+        riskFreeRate: 0.04, // 4% risk-free rate
+        rebalancingThreshold: 5, // 5% drift threshold
+        transactionCostModel: 'PERCENTAGE',
+        timeHorizon: 5, // 5 year horizon
+        allowLeverage: false,
+        includeAlternatives: true
+    };
+    /**
+     * Default risk profiles with typical asset class allocations
+     */
+    defaultRiskProfiles = new Map([
+        [
+            'CONSERVATIVE',
+            {
+                profile: 'CONSERVATIVE',
+                description: 'Capital preservation focused with minimal volatility',
+                baseAllocations: new Map([
+                    ['EQUITIES', 0.20],
+                    ['OPTIONS', 0.05],
+                    ['FUTURES', 0.00],
+                    ['ETF', 0.50],
+                    ['FOREX', 0.10],
+                    ['CRYPTO', 0.00]
+                ]),
+                maxVolatility: 8,
+                maxDrawdown: 10,
+                targetReturn: 5,
+                riskScore: 20
+            }
+        ],
+        [
+            'MODERATE_CONSERVATIVE',
+            {
+                profile: 'MODERATE_CONSERVATIVE',
+                description: 'Income focused with moderate growth potential',
+                baseAllocations: new Map([
+                    ['EQUITIES', 0.30],
+                    ['OPTIONS', 0.10],
+                    ['FUTURES', 0.05],
+                    ['ETF', 0.40],
+                    ['FOREX', 0.10],
+                    ['CRYPTO', 0.05]
+                ]),
+                maxVolatility: 12,
+                maxDrawdown: 15,
+                targetReturn: 7,
+                riskScore: 35
+            }
+        ],
+        [
+            'MODERATE',
+            {
+                profile: 'MODERATE',
+                description: 'Balanced growth and income with managed volatility',
+                baseAllocations: new Map([
+                    ['EQUITIES', 0.40],
+                    ['OPTIONS', 0.15],
+                    ['FUTURES', 0.10],
+                    ['ETF', 0.25],
+                    ['FOREX', 0.05],
+                    ['CRYPTO', 0.05]
+                ]),
+                maxVolatility: 15,
+                maxDrawdown: 20,
+                targetReturn: 10,
+                riskScore: 50
+            }
+        ],
+        [
+            'MODERATE_AGGRESSIVE',
+            {
+                profile: 'MODERATE_AGGRESSIVE',
+                description: 'Growth focused with higher volatility tolerance',
+                baseAllocations: new Map([
+                    ['EQUITIES', 0.50],
+                    ['OPTIONS', 0.20],
+                    ['FUTURES', 0.10],
+                    ['ETF', 0.10],
+                    ['FOREX', 0.05],
+                    ['CRYPTO', 0.05]
+                ]),
+                maxVolatility: 20,
+                maxDrawdown: 25,
+                targetReturn: 13,
+                riskScore: 70
+            }
+        ],
+        [
+            'AGGRESSIVE',
+            {
+                profile: 'AGGRESSIVE',
+                description: 'Maximum growth with high volatility acceptance',
+                baseAllocations: new Map([
+                    ['EQUITIES', 0.45],
+                    ['OPTIONS', 0.25],
+                    ['FUTURES', 0.15],
+                    ['ETF', 0.05],
+                    ['FOREX', 0.05],
+                    ['CRYPTO', 0.05]
+                ]),
+                maxVolatility: 30,
+                maxDrawdown: 35,
+                targetReturn: 18,
+                riskScore: 85
+            }
+        ]
+    ]);
+    constructor(config = {}) {
+        this.config = config;
+        this.config = { ...this.defaultConfig, ...config };
+    }
+    /**
+     * Generate optimal asset allocation recommendation
+     */
+    async generateAllocation(input) {
+        // Step 1: Determine risk profile if not provided
+        const riskProfile = input.riskProfile || this.inferRiskProfile(input);
+        // Step 2: Assess market conditions
+        const marketCondition = this.assessMarketCondition(input.marketConditions);
+        // Step 3: Get base allocations from risk profile
+        const baseAllocations = this.getBaseAllocations(riskProfile);
+        // Step 4: Adjust allocations based on market conditions
+        const marketAdjustedAllocations = this.adjustForMarketConditions(baseAllocations, marketCondition, input.marketConditions);
+        // Step 5: Apply user preferences and constraints
+        const constrainedAllocations = this.applyConstraints(marketAdjustedAllocations, input.preferences, input.constraints, input.assetCharacteristics);
+        // Step 6: Optimize allocations using selected objective
+        const optimizedAllocations = this.optimizeAllocations(constrainedAllocations, input.assetCharacteristics, input.accountSize, riskProfile);
+        // Step 7: Calculate portfolio metrics
+        const portfolioMetrics = this.calculatePortfolioMetrics(optimizedAllocations, input.assetCharacteristics);
+        // Step 8: Perform risk analysis
+        const riskAnalysis = this.performRiskAnalysis(optimizedAllocations, input.assetCharacteristics, riskProfile);
+        // Step 9: Calculate diversification metrics
+        const diversification = this.calculateDiversification(optimizedAllocations, input.assetCharacteristics);
+        // Step 10: Generate rebalancing recommendations if current positions exist
+        const rebalancing = input.currentPositions
+            ? this.generateRebalancingActions(input.currentPositions, optimizedAllocations, input.accountSize)
+            : undefined;
+        // Step 11: Build allocation recommendation
+        const recommendation = {
+            id: this.generateRecommendationId(),
+            allocations: this.buildAssetAllocations(optimizedAllocations, input.accountSize, input.assetCharacteristics, portfolioMetrics, riskProfile),
+            portfolioMetrics,
+            riskAnalysis,
+            diversification,
+            rebalancing,
+            timestamp: new Date(),
+            nextRebalancingDate: this.calculateNextRebalancingDate(input.preferences?.rebalancingFrequency),
+            methodology: this.getMethodologyDescription(this.config.objective, riskProfile),
+            warnings: this.generateWarnings(optimizedAllocations, riskAnalysis, input)
+        };
+        return recommendation;
+    }
+    /**
+     * Infer risk profile from account characteristics
+     */
+    inferRiskProfile(input) {
+        let riskScore = 50; // Start at moderate
+        // Adjust based on account size
+        if (input.accountSize < 10000) {
+            riskScore -= 10; // Smaller accounts tend to be more conservative
+        }
+        else if (input.accountSize > 100000) {
+            riskScore += 10; // Larger accounts can take more risk
+        }
+        // Adjust based on preferences
+        if (input.preferences?.maxDrawdown) {
+            if (input.preferences.maxDrawdown < 15)
+                riskScore -= 15;
+            else if (input.preferences.maxDrawdown > 25)
+                riskScore += 15;
+        }
+        if (input.preferences?.targetReturn) {
+            if (input.preferences.targetReturn < 6)
+                riskScore -= 10;
+            else if (input.preferences.targetReturn > 12)
+                riskScore += 10;
+        }
+        // Adjust based on excluded asset classes (conservative if many excluded)
+        if (input.preferences?.excludedAssetClasses) {
+            riskScore -= input.preferences.excludedAssetClasses.length * 5;
+        }
+        // Map score to profile
+        if (riskScore < 30)
+            return 'CONSERVATIVE';
+        if (riskScore < 45)
+            return 'MODERATE_CONSERVATIVE';
+        if (riskScore < 60)
+            return 'MODERATE';
+        if (riskScore < 75)
+            return 'MODERATE_AGGRESSIVE';
+        return 'AGGRESSIVE';
+    }
+    /**
+     * Assess current market condition
+     */
+    assessMarketCondition(metrics) {
+        // High volatility check
+        if (metrics.volatilityIndex > 30) {
+            return 'HIGH_VOLATILITY';
+        }
+        // Low volatility check
+        if (metrics.volatilityIndex < 12) {
+            return 'LOW_VOLATILITY';
+        }
+        // Crisis detection
+        if (metrics.volatilityIndex > 40 ||
+            metrics.sentimentScore < 20 ||
+            metrics.creditSpread > 500) {
+            return 'CRISIS';
+        }
+        // Bull market
+        if (metrics.trendDirection === 'UP' &&
+            metrics.marketStrength > 60 &&
+            metrics.sentimentScore > 60) {
+            return 'BULL';
+        }
+        // Bear market
+        if (metrics.trendDirection === 'DOWN' &&
+            metrics.marketStrength < 40 &&
+            metrics.sentimentScore < 40) {
+            return 'BEAR';
+        }
+        // Default to sideways
+        return 'SIDEWAYS';
+    }
+    /**
+     * Get base allocations from risk profile
+     */
+    getBaseAllocations(riskProfile) {
+        const profile = this.defaultRiskProfiles.get(riskProfile);
+        if (!profile) {
+            throw new Error(`Unknown risk profile: ${riskProfile}`);
+        }
+        return new Map(profile.baseAllocations);
+    }
+    /**
+     * Adjust allocations based on market conditions
+     */
+    adjustForMarketConditions(baseAllocations, condition, metrics) {
+        const adjusted = new Map(baseAllocations);
+        switch (condition) {
+            case 'CRISIS':
+                // Shift to defensive assets
+                this.scaleAllocation(adjusted, 'EQUITIES', 0.5);
+                this.scaleAllocation(adjusted, 'OPTIONS', 0.3);
+                this.scaleAllocation(adjusted, 'FUTURES', 0.2);
+                this.scaleAllocation(adjusted, 'ETF', 1.5);
+                this.scaleAllocation(adjusted, 'CRYPTO', 0.1);
+                break;
+            case 'HIGH_VOLATILITY':
+                // Reduce volatile assets
+                this.scaleAllocation(adjusted, 'OPTIONS', 0.7);
+                this.scaleAllocation(adjusted, 'FUTURES', 0.7);
+                this.scaleAllocation(adjusted, 'CRYPTO', 0.5);
+                this.scaleAllocation(adjusted, 'ETF', 1.2);
+                break;
+            case 'LOW_VOLATILITY':
+                // Can take more risk
+                this.scaleAllocation(adjusted, 'EQUITIES', 1.1);
+                this.scaleAllocation(adjusted, 'OPTIONS', 1.2);
+                this.scaleAllocation(adjusted, 'CRYPTO', 1.3);
+                break;
+            case 'BULL':
+                // Increase growth assets
+                this.scaleAllocation(adjusted, 'EQUITIES', 1.2);
+                this.scaleAllocation(adjusted, 'OPTIONS', 1.1);
+                this.scaleAllocation(adjusted, 'CRYPTO', 1.2);
+                this.scaleAllocation(adjusted, 'ETF', 0.9);
+                break;
+            case 'BEAR':
+                // Defensive positioning
+                this.scaleAllocation(adjusted, 'EQUITIES', 0.7);
+                this.scaleAllocation(adjusted, 'OPTIONS', 0.8);
+                this.scaleAllocation(adjusted, 'CRYPTO', 0.6);
+                this.scaleAllocation(adjusted, 'ETF', 1.3);
+                this.scaleAllocation(adjusted, 'FOREX', 1.2);
+                break;
+            case 'SIDEWAYS':
+                // Favor income and options strategies
+                this.scaleAllocation(adjusted, 'OPTIONS', 1.2);
+                this.scaleAllocation(adjusted, 'EQUITIES', 0.95);
+                break;
+        }
+        // Additional adjustments based on specific metrics
+        if (metrics.inflationRate > 4) {
+            // High inflation - favor real assets
+            this.scaleAllocation(adjusted, 'CRYPTO', 1.1);
+            this.scaleAllocation(adjusted, 'ETF', 0.9);
+        }
+        if (metrics.interestRateLevel === 'HIGH') {
+            // High rates - favor fixed income and reduce growth
+            this.scaleAllocation(adjusted, 'EQUITIES', 0.9);
+            this.scaleAllocation(adjusted, 'ETF', 1.1);
+        }
+        // Normalize to sum to 1.0
+        return this.normalizeAllocations(adjusted);
+    }
+    /**
+     * Scale allocation for a specific asset class
+     */
+    scaleAllocation(allocations, assetClass, scaleFactor) {
+        const current = allocations.get(assetClass) || 0;
+        allocations.set(assetClass, current * scaleFactor);
+    }
+    /**
+     * Normalize allocations to sum to 1.0
+     */
+    normalizeAllocations(allocations) {
+        const total = Array.from(allocations.values()).reduce((sum, val) => sum + val, 0);
+        if (total === 0) {
+            // Equal weight if all zeros
+            const assetCount = allocations.size;
+            allocations.forEach((_, key) => allocations.set(key, 1 / assetCount));
+            return allocations;
+        }
+        const normalized = new Map();
+        allocations.forEach((value, key) => {
+            normalized.set(key, value / total);
+        });
+        return normalized;
+    }
+    /**
+     * Apply user constraints and preferences
+     */
+    applyConstraints(allocations, preferences, constraints, characteristics) {
+        const constrained = new Map(allocations);
+        // Apply exclusions
+        if (preferences?.excludedAssetClasses) {
+            preferences.excludedAssetClasses.forEach(asset => {
+                constrained.set(asset, 0);
+            });
+        }
+        // Apply preferred asset classes
+        if (preferences?.preferredAssetClasses && preferences.preferredAssetClasses.length > 0) {
+            // Zero out non-preferred assets
+            constrained.forEach((_, asset) => {
+                if (!preferences.preferredAssetClasses.includes(asset)) {
+                    constrained.set(asset, 0);
+                }
+            });
+        }
+        // Apply min/max per class
+        if (preferences?.minAllocationPerClass !== undefined) {
+            constrained.forEach((value, asset) => {
+                if (value > 0 && value < preferences.minAllocationPerClass) {
+                    constrained.set(asset, preferences.minAllocationPerClass);
+                }
+            });
+        }
+        if (preferences?.maxAllocationPerClass !== undefined) {
+            constrained.forEach((value, asset) => {
+                if (value > preferences.maxAllocationPerClass) {
+                    constrained.set(asset, preferences.maxAllocationPerClass);
+                }
+            });
+        }
+        // Apply specific constraints
+        if (constraints) {
+            constraints.forEach(constraint => {
+                if (constraint.assetClass) {
+                    const current = constrained.get(constraint.assetClass) || 0;
+                    switch (constraint.type) {
+                        case 'MIN_ALLOCATION':
+                            if (current < constraint.value && constraint.hard) {
+                                constrained.set(constraint.assetClass, constraint.value);
+                            }
+                            break;
+                        case 'MAX_ALLOCATION':
+                            if (current > constraint.value) {
+                                constrained.set(constraint.assetClass, constraint.value);
+                            }
+                            break;
+                    }
+                }
+            });
+        }
+        // Re-normalize after constraint application
+        return this.normalizeAllocations(constrained);
+    }
+    /**
+     * Optimize allocations using specified objective
+     */
+    optimizeAllocations(allocations, characteristics, accountSize, riskProfile) {
+        const charMap = new Map(characteristics.map(c => [c.assetClass, c]));
+        switch (this.config.objective) {
+            case 'MAX_SHARPE':
+                return this.maximizeSharpeRatio(allocations, charMap);
+            case 'MIN_RISK':
+                return this.minimizeRisk(allocations, charMap);
+            case 'MAX_RETURN':
+                return this.maximizeReturn(allocations, charMap, riskProfile);
+            case 'RISK_PARITY':
+                return this.riskParityAllocation(allocations, charMap);
+            case 'MAX_DIVERSIFICATION':
+                return this.maximizeDiversification(allocations, charMap);
+            default:
+                return allocations;
+        }
+    }
+    /**
+     * Maximize Sharpe ratio allocation
+     */
+    maximizeSharpeRatio(allocations, characteristics) {
+        const optimized = new Map();
+        // Calculate excess returns (return - risk-free rate)
+        const excessReturns = new Map();
+        allocations.forEach((_, asset) => {
+            const char = characteristics.get(asset);
+            if (char) {
+                const excessReturn = char.expectedReturn - this.config.riskFreeRate * 100;
+                excessReturns.set(asset, excessReturn);
+            }
+        });
+        // Weight by Sharpe ratio (simplified)
+        let totalSharpe = 0;
+        const sharpeRatios = new Map();
+        allocations.forEach((_, asset) => {
+            const char = characteristics.get(asset);
+            if (char && char.volatility > 0) {
+                const sharpe = (excessReturns.get(asset) || 0) / char.volatility;
+                sharpeRatios.set(asset, Math.max(0, sharpe)); // Only positive sharpe
+                totalSharpe += Math.max(0, sharpe);
+            }
+        });
+        // Allocate proportional to Sharpe ratio
+        if (totalSharpe > 0) {
+            sharpeRatios.forEach((sharpe, asset) => {
+                optimized.set(asset, sharpe / totalSharpe);
+            });
+        }
+        else {
+            // Fall back to equal weight
+            const count = allocations.size;
+            allocations.forEach((_, asset) => {
+                optimized.set(asset, 1 / count);
+            });
+        }
+        // Blend with original allocations (50/50 blend)
+        const blended = new Map();
+        allocations.forEach((originalWeight, asset) => {
+            const optimizedWeight = optimized.get(asset) || 0;
+            blended.set(asset, 0.5 * originalWeight + 0.5 * optimizedWeight);
+        });
+        return this.normalizeAllocations(blended);
+    }
+    /**
+     * Minimize portfolio risk
+     */
+    minimizeRisk(allocations, characteristics) {
+        const optimized = new Map();
+        // Weight inversely to volatility
+        let totalInvVol = 0;
+        const invVolatilities = new Map();
+        allocations.forEach((_, asset) => {
+            const char = characteristics.get(asset);
+            if (char && char.volatility > 0) {
+                const invVol = 1 / char.volatility;
+                invVolatilities.set(asset, invVol);
+                totalInvVol += invVol;
+            }
+        });
+        // Allocate proportional to inverse volatility
+        if (totalInvVol > 0) {
+            invVolatilities.forEach((invVol, asset) => {
+                optimized.set(asset, invVol / totalInvVol);
+            });
+        }
+        else {
+            const count = allocations.size;
+            allocations.forEach((_, asset) => {
+                optimized.set(asset, 1 / count);
+            });
+        }
+        // Blend with original
+        const blended = new Map();
+        allocations.forEach((originalWeight, asset) => {
+            const optimizedWeight = optimized.get(asset) || 0;
+            blended.set(asset, 0.6 * optimizedWeight + 0.4 * originalWeight);
+        });
+        return this.normalizeAllocations(blended);
+    }
+    /**
+     * Maximize expected return
+     */
+    maximizeReturn(allocations, characteristics, riskProfile) {
+        const profile = this.defaultRiskProfiles.get(riskProfile);
+        if (!profile)
+            return allocations;
+        const optimized = new Map();
+        // Weight by expected return, but cap by volatility constraint
+        let totalAdjustedReturn = 0;
+        const adjustedReturns = new Map();
+        allocations.forEach((_, asset) => {
+            const char = characteristics.get(asset);
+            if (char) {
+                // Penalize high volatility assets
+                const volatilityPenalty = char.volatility > profile.maxVolatility
+                    ? 0.5
+                    : 1.0;
+                const adjustedReturn = char.expectedReturn * volatilityPenalty;
+                adjustedReturns.set(asset, Math.max(0, adjustedReturn));
+                totalAdjustedReturn += Math.max(0, adjustedReturn);
+            }
+        });
+        // Allocate proportional to adjusted returns
+        if (totalAdjustedReturn > 0) {
+            adjustedReturns.forEach((adjReturn, asset) => {
+                optimized.set(asset, adjReturn / totalAdjustedReturn);
+            });
+        }
+        else {
+            const count = allocations.size;
+            allocations.forEach((_, asset) => {
+                optimized.set(asset, 1 / count);
+            });
+        }
+        // Blend with original
+        const blended = new Map();
+        allocations.forEach((originalWeight, asset) => {
+            const optimizedWeight = optimized.get(asset) || 0;
+            blended.set(asset, 0.5 * optimizedWeight + 0.5 * originalWeight);
+        });
+        return this.normalizeAllocations(blended);
+    }
+    /**
+     * Risk parity allocation (equal risk contribution)
+     */
+    riskParityAllocation(allocations, characteristics) {
+        // Simplified risk parity: weight inversely to volatility
+        return this.minimizeRisk(allocations, characteristics);
+    }
+    /**
+     * Maximize diversification
+     */
+    maximizeDiversification(allocations, characteristics) {
+        const optimized = new Map();
+        // Calculate average correlation for each asset
+        const avgCorrelations = new Map();
+        allocations.forEach((_, asset) => {
+            const char = characteristics.get(asset);
+            if (char && char.correlations) {
+                let sumCorr = 0;
+                let count = 0;
+                char.correlations.forEach((corr, _) => {
+                    sumCorr += Math.abs(corr);
+                    count++;
+                });
+                const avgCorr = count > 0 ? sumCorr / count : 0.5;
+                avgCorrelations.set(asset, avgCorr);
+            }
+        });
+        // Weight inversely to average correlation
+        let totalInvCorr = 0;
+        const invCorrelations = new Map();
+        avgCorrelations.forEach((avgCorr, asset) => {
+            const invCorr = 1 / (0.1 + avgCorr); // Add small constant to avoid division by zero
+            invCorrelations.set(asset, invCorr);
+            totalInvCorr += invCorr;
+        });
+        // Allocate proportional to inverse correlation
+        if (totalInvCorr > 0) {
+            invCorrelations.forEach((invCorr, asset) => {
+                optimized.set(asset, invCorr / totalInvCorr);
+            });
+        }
+        else {
+            const count = allocations.size;
+            allocations.forEach((_, asset) => {
+                optimized.set(asset, 1 / count);
+            });
+        }
+        // Blend with original
+        const blended = new Map();
+        allocations.forEach((originalWeight, asset) => {
+            const optimizedWeight = optimized.get(asset) || 0;
+            blended.set(asset, 0.5 * optimizedWeight + 0.5 * originalWeight);
+        });
+        return this.normalizeAllocations(blended);
+    }
+    /**
+     * Calculate comprehensive portfolio metrics
+     */
+    calculatePortfolioMetrics(allocations, characteristics) {
+        const charMap = new Map(characteristics.map(c => [c.assetClass, c]));
+        let expectedReturn = 0;
+        let portfolioVariance = 0;
+        // Calculate expected return
+        allocations.forEach((weight, asset) => {
+            const char = charMap.get(asset);
+            if (char) {
+                expectedReturn += weight * char.expectedReturn;
+            }
+        });
+        // Calculate portfolio variance (simplified - assumes correlations)
+        const assetList = Array.from(allocations.keys());
+        for (let i = 0; i < assetList.length; i++) {
+            for (let j = 0; j < assetList.length; j++) {
+                const asset1 = assetList[i];
+                const asset2 = assetList[j];
+                const w1 = allocations.get(asset1) || 0;
+                const w2 = allocations.get(asset2) || 0;
+                const char1 = charMap.get(asset1);
+                const char2 = charMap.get(asset2);
+                if (char1 && char2) {
+                    const vol1 = char1.volatility / 100; // Convert from percentage
+                    const vol2 = char2.volatility / 100;
+                    let correlation = 1.0;
+                    if (i !== j) {
+                        correlation = char1.correlations?.get(asset2) ?? 0.3; // Default correlation
+                    }
+                    portfolioVariance += w1 * w2 * vol1 * vol2 * correlation;
+                }
+            }
+        }
+        const expectedVolatility = Math.sqrt(portfolioVariance) * 100; // Convert to percentage
+        // Calculate Sharpe ratio
+        const excessReturn = expectedReturn - this.config.riskFreeRate * 100;
+        const sharpeRatio = expectedVolatility > 0 ? excessReturn / expectedVolatility : 0;
+        // Calculate Sortino ratio (simplified - using volatility as proxy)
+        const downsideDeviation = expectedVolatility * 0.7; // Rough approximation
+        const sortinoRatio = downsideDeviation > 0 ? excessReturn / downsideDeviation : 0;
+        // Estimate maximum drawdown (rough approximation)
+        const maxDrawdown = expectedVolatility * 1.5;
+        // VaR and CVaR (parametric approach, 95% confidence)
+        const valueAtRisk95 = 1.645 * expectedVolatility;
+        const conditionalVaR = 2.063 * expectedVolatility; // 95% CVaR
+        // Beta and Alpha (simplified)
+        const beta = 1.0; // Assume market beta for now
+        const alpha = expectedReturn - (this.config.riskFreeRate * 100 + beta * 6); // Assume 6% market risk premium
+        // Information ratio
+        const trackingError = expectedVolatility * 0.5;
+        const informationRatio = trackingError > 0 ? alpha / trackingError : 0;
+        return {
+            expectedReturn,
+            expectedVolatility,
+            sharpeRatio,
+            sortinoRatio,
+            maxDrawdown,
+            valueAtRisk95,
+            conditionalVaR,
+            beta,
+            alpha,
+            informationRatio
+        };
+    }
+    /**
+     * Perform comprehensive risk analysis
+     */
+    performRiskAnalysis(allocations, characteristics, riskProfile) {
+        const charMap = new Map(characteristics.map(c => [c.assetClass, c]));
+        const profile = this.defaultRiskProfiles.get(riskProfile);
+        // Calculate portfolio volatility
+        let totalVolatility = 0;
+        allocations.forEach((weight, asset) => {
+            const char = charMap.get(asset);
+            if (char) {
+                totalVolatility += weight * char.volatility;
+            }
+        });
+        // Risk score (0-100)
+        const riskScore = Math.min(100, (totalVolatility / profile.maxVolatility) * 100);
+        // Risk level
+        let riskLevel;
+        if (riskScore < 40)
+            riskLevel = 'LOW';
+        else if (riskScore < 60)
+            riskLevel = 'MEDIUM';
+        else if (riskScore < 80)
+            riskLevel = 'HIGH';
+        else
+            riskLevel = 'EXTREME';
+        // Systematic vs idiosyncratic risk (simplified)
+        const systematicRisk = totalVolatility * 0.7; // 70% systematic
+        const idiosyncraticRisk = totalVolatility * 0.3; // 30% idiosyncratic
+        // Tail risk (simplified - higher volatility = higher tail risk)
+        const tailRisk = totalVolatility * 1.2;
+        // Liquidity risk
+        let liquidityRisk = 0;
+        allocations.forEach((weight, asset) => {
+            const char = charMap.get(asset);
+            if (char) {
+                liquidityRisk += weight * (100 - char.liquidityScore);
+            }
+        });
+        // Concentration risk (HHI)
+        let hhi = 0;
+        allocations.forEach(weight => {
+            hhi += weight * weight;
+        });
+        const concentrationRisk = hhi * 100;
+        // Currency risk (simplified)
+        const forexWeight = allocations.get('FOREX') || 0;
+        const cryptoWeight = allocations.get('CRYPTO') || 0;
+        const currencyRisk = (forexWeight + cryptoWeight) * 50;
+        // Risk decomposition by asset class
+        const riskDecomposition = new Map();
+        let totalRiskContribution = 0;
+        allocations.forEach((weight, asset) => {
+            const char = charMap.get(asset);
+            if (char) {
+                const riskContribution = weight * char.volatility;
+                riskDecomposition.set(asset, riskContribution);
+                totalRiskContribution += riskContribution;
+            }
+        });
+        // Normalize risk contributions
+        if (totalRiskContribution > 0) {
+            riskDecomposition.forEach((contrib, asset) => {
+                riskDecomposition.set(asset, (contrib / totalRiskContribution) * 100);
+            });
+        }
+        return {
+            riskScore,
+            riskLevel,
+            systematicRisk,
+            idiosyncraticRisk,
+            tailRisk,
+            liquidityRisk,
+            concentrationRisk,
+            currencyRisk,
+            riskDecomposition
+        };
+    }
+    /**
+     * Calculate diversification metrics
+     */
+    calculateDiversification(allocations, characteristics) {
+        const charMap = new Map(characteristics.map(c => [c.assetClass, c]));
+        // Herfindahl-Hirschman Index (concentration measure)
+        let hhi = 0;
+        allocations.forEach(weight => {
+            hhi += weight * weight;
+        });
+        // Effective number of assets
+        const effectiveNumberOfAssets = hhi > 0 ? 1 / hhi : allocations.size;
+        // Average correlation
+        let sumCorrelations = 0;
+        let correlationCount = 0;
+        let maxCorr = 0;
+        const assetList = Array.from(allocations.keys());
+        for (let i = 0; i < assetList.length; i++) {
+            for (let j = i + 1; j < assetList.length; j++) {
+                const asset1 = assetList[i];
+                const asset2 = assetList[j];
+                const char1 = charMap.get(asset1);
+                if (char1?.correlations) {
+                    const corr = Math.abs(char1.correlations.get(asset2) ?? 0.3);
+                    sumCorrelations += corr;
+                    correlationCount++;
+                    maxCorr = Math.max(maxCorr, corr);
+                }
+            }
+        }
+        const averageCorrelation = correlationCount > 0 ? sumCorrelations / correlationCount : 0;
+        // Diversification ratio (weighted average vol / portfolio vol)
+        let weightedAvgVol = 0;
+        let portfolioVar = 0;
+        allocations.forEach((weight, asset) => {
+            const char = charMap.get(asset);
+            if (char) {
+                weightedAvgVol += weight * char.volatility;
+            }
+        });
+        // Calculate portfolio variance
+        for (let i = 0; i < assetList.length; i++) {
+            for (let j = 0; j < assetList.length; j++) {
+                const asset1 = assetList[i];
+                const asset2 = assetList[j];
+                const w1 = allocations.get(asset1) || 0;
+                const w2 = allocations.get(asset2) || 0;
+                const char1 = charMap.get(asset1);
+                const char2 = charMap.get(asset2);
+                if (char1 && char2) {
+                    const vol1 = char1.volatility / 100;
+                    const vol2 = char2.volatility / 100;
+                    const corr = i === j ? 1.0 : (char1.correlations?.get(asset2) ?? 0.3);
+                    portfolioVar += w1 * w2 * vol1 * vol2 * corr;
+                }
+            }
+        }
+        const portfolioVol = Math.sqrt(portfolioVar) * 100;
+        const diversificationRatio = portfolioVol > 0 ? weightedAvgVol / portfolioVol : 1;
+        // Asset class diversity score (based on number of asset classes used)
+        const nonZeroAllocations = Array.from(allocations.values()).filter(w => w > 0.01).length;
+        const totalAssetClasses = allocations.size;
+        const assetClassDiversity = (nonZeroAllocations / totalAssetClasses) * 100;
+        // Build correlation matrix
+        const correlationMatrix = [];
+        for (let i = 0; i < assetList.length; i++) {
+            correlationMatrix[i] = [];
+            for (let j = 0; j < assetList.length; j++) {
+                if (i === j) {
+                    correlationMatrix[i][j] = 1.0;
+                }
+                else {
+                    const char1 = charMap.get(assetList[i]);
+                    const corr = char1?.correlations?.get(assetList[j]) ?? 0.3;
+                    correlationMatrix[i][j] = corr;
+                }
+            }
+        }
+        return {
+            diversificationRatio,
+            herfindahlIndex: hhi,
+            effectiveNumberOfAssets,
+            averageCorrelation,
+            maxPairwiseCorrelation: maxCorr,
+            correlationMatrix,
+            assetClassDiversity
+        };
+    }
+    /**
+     * Generate rebalancing actions
+     */
+    generateRebalancingActions(currentPositions, targetAllocations, accountSize) {
+        const actions = [];
+        // Calculate current total value
+        let currentTotal = 0;
+        currentPositions.forEach(amount => {
+            currentTotal += amount;
+        });
+        // Generate actions for each asset class
+        targetAllocations.forEach((targetWeight, asset) => {
+            const currentAmount = currentPositions.get(asset) || 0;
+            const currentWeight = currentTotal > 0 ? currentAmount / currentTotal : 0;
+            const targetAmount = accountSize * targetWeight;
+            const drift = Math.abs(currentWeight - targetWeight);
+            // Only rebalance if drift exceeds threshold
+            if (drift > this.config.rebalancingThreshold / 100) {
+                const tradeDelta = targetAmount - currentAmount;
+                actions.push({
+                    assetClass: asset,
+                    currentAllocation: currentWeight,
+                    targetAllocation: targetWeight,
+                    action: tradeDelta > 0 ? 'BUY' : 'SELL',
+                    tradeAmount: Math.abs(tradeDelta),
+                    priority: drift > 0.15 ? 1 : drift > 0.10 ? 2 : 3,
+                    estimatedCost: Math.abs(tradeDelta) * 0.001, // 0.1% transaction cost
+                    reason: `Drift of ${(drift * 100).toFixed(2)}% exceeds threshold`
+                });
+            }
+        });
+        // Sort by priority
+        actions.sort((a, b) => a.priority - b.priority);
+        return actions;
+    }
+    /**
+     * Build detailed asset allocations
+     */
+    buildAssetAllocations(allocations, accountSize, characteristics, portfolioMetrics, riskProfile) {
+        const charMap = new Map(characteristics.map(c => [c.assetClass, c]));
+        const assetAllocations = [];
+        allocations.forEach((weight, asset) => {
+            if (weight > 0.001) { // Only include meaningful allocations
+                const char = charMap.get(asset);
+                const amount = accountSize * weight;
+                // Calculate risk contribution
+                const assetVol = char?.volatility || 0;
+                const portfolioVol = portfolioMetrics.expectedVolatility;
+                const riskContribution = portfolioVol > 0 ? (weight * assetVol) / portfolioVol : 0;
+                // Calculate return contribution
+                const assetReturn = char?.expectedReturn || 0;
+                const returnContribution = weight * assetReturn;
+                // Generate rationale
+                const rationale = this.generateAllocationRationale(asset, weight, char, riskProfile);
+                // Calculate confidence (based on data quality and market conditions)
+                const confidence = char ? Math.min(0.95, 0.7 + (char.liquidityScore / 200)) : 0.5;
+                assetAllocations.push({
+                    assetClass: asset,
+                    allocation: weight,
+                    amount,
+                    riskContribution,
+                    returnContribution,
+                    rationale,
+                    confidence
+                });
+            }
+        });
+        // Sort by allocation size
+        assetAllocations.sort((a, b) => b.allocation - a.allocation);
+        return assetAllocations;
+    }
+    /**
+     * Generate rationale for asset allocation
+     */
+    generateAllocationRationale(asset, weight, characteristics, riskProfile) {
+        if (!characteristics) {
+            return `${(weight * 100).toFixed(1)}% allocated to ${asset}`;
+        }
+        const reasons = [];
+        // Add size description
+        if (weight > 0.3) {
+            reasons.push('Core holding');
+        }
+        else if (weight > 0.15) {
+            reasons.push('Significant position');
+        }
+        else if (weight > 0.05) {
+            reasons.push('Moderate allocation');
+        }
+        else {
+            reasons.push('Tactical allocation');
+        }
+        // Add characteristic-based reasoning
+        if (characteristics.sharpeRatio > 1.5) {
+            reasons.push('strong risk-adjusted returns');
+        }
+        if (characteristics.volatility < 15) {
+            reasons.push('low volatility');
+        }
+        else if (characteristics.volatility > 25) {
+            reasons.push('high growth potential');
+        }
+        if (characteristics.liquidityScore > 80) {
+            reasons.push('high liquidity');
+        }
+        // Add risk profile context
+        if (riskProfile === 'CONSERVATIVE' && asset === 'ETF') {
+            reasons.push('diversification and stability');
+        }
+        else if (riskProfile === 'AGGRESSIVE' && asset === 'OPTIONS') {
+            reasons.push('leveraged growth opportunities');
+        }
+        return `${(weight * 100).toFixed(1)}% allocation - ${reasons.join(', ')}`;
+    }
+    /**
+     * Calculate next rebalancing date
+     */
+    calculateNextRebalancingDate(frequencyDays) {
+        const days = frequencyDays || 90; // Default to quarterly
+        const nextDate = new Date();
+        nextDate.setDate(nextDate.getDate() + days);
+        return nextDate;
+    }
+    /**
+     * Get methodology description
+     */
+    getMethodologyDescription(objective, riskProfile) {
+        const descriptions = {
+            MAX_SHARPE: 'Sharpe ratio maximization with risk-adjusted return optimization',
+            MIN_RISK: 'Minimum variance optimization prioritizing capital preservation',
+            MAX_RETURN: 'Return maximization within risk tolerance constraints',
+            RISK_PARITY: 'Equal risk contribution across asset classes',
+            MAX_DIVERSIFICATION: 'Correlation-based diversification maximization',
+            TARGET_RETURN: 'Target return achievement with minimum required risk',
+            TARGET_RISK: 'Target risk level with maximum potential return'
+        };
+        return `${descriptions[objective]} tailored for ${riskProfile} risk profile`;
+    }
+    /**
+     * Generate warnings based on allocation
+     */
+    generateWarnings(allocations, riskAnalysis, input) {
+        const warnings = [];
+        // High risk warning
+        if (riskAnalysis.riskLevel === 'HIGH' || riskAnalysis.riskLevel === 'EXTREME') {
+            warnings.push(`Portfolio risk level is ${riskAnalysis.riskLevel}. Consider reducing exposure to volatile assets.`);
+        }
+        // Concentration warning
+        if (riskAnalysis.concentrationRisk > 40) {
+            warnings.push('High concentration detected. Portfolio may benefit from additional diversification.');
+        }
+        // Liquidity warning
+        if (riskAnalysis.liquidityRisk > 30) {
+            warnings.push('Some positions may have limited liquidity. Consider exit strategies in advance.');
+        }
+        // Small account warning
+        if (input.accountSize < 5000) {
+            warnings.push('Small account size may limit diversification. Consider focusing on ETFs for broader exposure.');
+        }
+        // High volatility market warning
+        if (input.marketConditions.volatilityIndex > 25) {
+            warnings.push('Market volatility is elevated. Consider maintaining higher cash reserves.');
+        }
+        // Crypto allocation warning
+        const cryptoAlloc = allocations.get('CRYPTO') || 0;
+        if (cryptoAlloc > 0.15) {
+            warnings.push('Cryptocurrency allocation exceeds 15%. Be aware of high volatility and regulatory risks.');
+        }
+        // Options allocation warning
+        const optionsAlloc = allocations.get('OPTIONS') || 0;
+        if (optionsAlloc > 0.25) {
+            warnings.push('Options allocation is significant. Ensure adequate knowledge and risk management.');
+        }
+        return warnings;
+    }
+    /**
+     * Generate unique recommendation ID
+     */
+    generateRecommendationId() {
+        const timestamp = Date.now();
+        const random = Math.random().toString(36).substring(2, 9);
+        return `alloc_${timestamp}_${random}`;
+    }
+}
+/**
+ * Convenience function to generate allocation with default settings
+ */
+async function generateOptimalAllocation(input, config) {
+    const engine = new AssetAllocationEngine(config);
+    return engine.generateAllocation(input);
+}
+/**
+ * Convenience function to get default risk profile characteristics
+ */
+function getDefaultRiskProfile(profile) {
+    const engine = new AssetAllocationEngine();
+    return engine.defaultRiskProfiles.get(profile);
+}
+
 // Export factory functions for easier instantiation
 const createAlpacaTradingAPI = (credentials) => {
     return new AlpacaTradingAPI(credentials);
@@ -15750,6 +16832,7 @@ const adptc = adaptic;
 
 exports.AlpacaMarketDataAPI = AlpacaMarketDataAPI;
 exports.AlpacaTradingAPI = AlpacaTradingAPI;
+exports.AssetAllocationEngine = AssetAllocationEngine;
 exports.DEFAULT_CACHE_OPTIONS = DEFAULT_CACHE_OPTIONS;
 exports.StampedeProtectedCache = StampedeProtectedCache;
 exports.adaptic = adaptic;
@@ -15757,4 +16840,6 @@ exports.adptc = adptc;
 exports.createAlpacaMarketDataAPI = createAlpacaMarketDataAPI;
 exports.createAlpacaTradingAPI = createAlpacaTradingAPI;
 exports.createStampedeProtectedCache = createStampedeProtectedCache;
+exports.generateOptimalAllocation = generateOptimalAllocation;
+exports.getDefaultRiskProfile = getDefaultRiskProfile;
 //# sourceMappingURL=index.cjs.map