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 2 years ago

differential-evolutionevolutionary-algorithmglobal-optimizationoptimization

11.37 score 29 stars 122 packages 660 scripts 13k 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>.

Last updated 3 years ago

covarianceoptimizationportfolioportfolio-optimizationrisk

5.36 score 51 stars 1 packages 30 scripts 607 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>.

Last updated 3 years ago

bayesiangarchmcmcrisk-modelsstudent

3.99 score 13 stars 15 scripts 528 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>.

Last updated 3 years ago

alphafinancefundsperformance-analysisperformance-metricsscreeningsharpe

3.78 score 12 stars 8 scripts 401 downloads

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.

Last updated 3 years ago

adaptivedistributionfittingmcmcmixturemixture-model

3.00 score 2 stars 9 scripts 531 downloads