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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>.

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differential-evolutionevolutionary-algorithmglobal-optimizationoptimization

11.70 score 31 stars 132 dependents 840 scripts 19k downloads

RiskPortfolios - 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>.

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covarianceoptimizationportfolioportfolio-optimizationrisk

5.26 score 54 stars 68 scripts 530 downloads

PeerPerformance - 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>.

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alphafinancefundsperformance-analysisperformance-metricsscreeningsharpe

4.93 score 13 stars 22 scripts 290 downloads

bayesGARCH - 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>.

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bayesiangarchmcmcrisk-modelsstudent

4.13 score 16 stars 17 scripts 476 downloads

spantest - 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>, and Gungor and Luger (2016) <doi:10.1080/07350015.2015.1019510>.

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3.60 score 1 stars 1 scripts 433 downloads

RSDC - 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>.

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3.60 score 2 stars 2 scripts 120 downloads

smqf - Statistical Methods for Quantitative Finance

Provides data and functions used in the book "Statistical Methods for Quantitative Finance" by David Ardia (2026).

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3.30 score

AdMit - 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.

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adaptivedistributionfittingmcmcmixturemixture-model

3.00 score 2 stars 9 scripts 423 downloads