DEoptim - Global Optimization by Differential Evolution
Implements the Differential Evolution algorithm for global optimization of a real-valued function of a real-valued parameter vector as described in Mullen et al. (2011) <doi:10.18637/jss.v040.i06>.
Last updated
differential-evolutionevolutionary-algorithmglobal-optimizationoptimization
12.14 score 31 stars 138 dependents 1.2k scripts 35k downloadsPeerPerformance - Luck-Corrected Peer Performance Analysis in R
Provides functions to perform the peer performance analysis of funds' returns as described in Ardia and Boudt (2018) <doi:10.1016/j.jbankfin.2017.10.014>. For each fund, the package estimates the proportion of peers it outperforms, is equalled by, and is outperformed by, correcting for luck with the false discovery approach of Storey (2002) <doi:10.1111/1467-9868.00346>. Screenings can be based on factor-model alphas, Sharpe ratios, or modified Sharpe ratios, the latter using the equality test of Ardia and Boudt (2015) <doi:10.1016/j.frl.2015.02.008>. Funds can be screened within a universe or against a separate peer group, over rolling windows, and results come with peer-bootstrap intervals, summary, plot, and tidy data frame methods.
Last updated
alphafinancefundsperformance-analysisperformance-metricsscreeningsharpe
6.61 score 13 stars 26 scripts 525 downloadsRiskPortfolios - Computation of Risk-Based Portfolios
Collection of functions designed to compute risk-based portfolios as described in Ardia et al. (2017) <doi:10.1007/s10479-017-2474-7> and Ardia et al. (2017) <doi:10.21105/joss.00171>.
Last updated
covarianceoptimizationportfolioportfolio-optimizationrisk
5.60 score 54 stars 73 scripts 598 downloadsRSDC - Regime-Switching Dynamic Correlation Models
Estimation, forecasting, simulation, and portfolio construction for regime-switching models with exogenous variables as in Pelletier (2006) <doi:10.1016/j.jeconom.2005.01.013>.
Last updated
openblascpp
5.15 score 2 stars 8 scripts 300 downloadsbayesGARCH - Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Provides the bayesGARCH() function which performs the Bayesian estimation of the GARCH(1,1) model with Student's t innovations as described in Ardia (2008) <doi:10.1007/978-3-540-78657-3>.
Last updated
bayesiangarchmcmcrisk-modelsstudent
4.48 score 16 stars 19 scripts 642 downloadsspantest - Mean-Variance Spanning Tests
Provides a comprehensive suite of portfolio spanning tests for asset pricing, such as Huberman and Kandel (1987) <doi:10.1111/j.1540-6261.1987.tb03917.x>, Gibbons et al. (1989) <doi:10.2307/1913625>, Kempf and Memmel (2006) <doi:10.1007/BF03396737>, Pesaran and Yamagata (2024) <doi:10.1093/jjfinec/nbad002>, Gungor and Luger (2016) <doi:10.1080/07350015.2015.1019510>, and the randomized alpha test of Massacci et al. (2026) <doi:10.48550/arXiv.2507.17599>.
Last updated
openblascpp
3.60 score 2 scripts 287 downloadsAdMit - Adaptive Mixture of Student-t Distributions
Provides functions to perform the fitting of an adaptive mixture of Student-t distributions to a target density through its kernel function as described in Ardia et al. (2009) <doi:10.18637/jss.v029.i03>. The mixture approximation can then be used as the importance density in importance sampling or as the candidate density in the Metropolis-Hastings algorithm to obtain quantities of interest for the target density itself.
Last updated
adaptivedistributionfittingmcmcmixturemixture-model
3.30 score 2 stars 9 scripts 831 downloads