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Ardia, David

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Ardia, David
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Ancien.ne collaborateur.trice
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https://libra.unine.ch/handle/123456789/832

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  • Publication
    Accès libre
    RiskPortfolios: Computation of risk-based portfolios in R
    (2017-2)
    Ardia, David 
    ;
    Boudt, Kris
    ;
    Gagnon-Fleury, Philippe
    RiskPortfolios is an R package for constructing risk-based portfolios. It provides a set of functionalities to build mean-variance, minimum variance, inverse-volatility weighted (Leote De Carvalho, Lu, and Moulin (2012)), equal-risk-contribution (Maillard, Roncalli, and Teïletche (2010)), maximum diversification (Choueifaty and Coignard (2008)), and risk-efficient (Amenc et al. (2011)) portfolios. Optimization is achieved with the R packages quadprog (Weingessel (2013)) and nloptr (Ypma (2014)). Long or gross constraints can be added to the optimizer. As risk-based portfolios are mainly based on covariances, the package also provides a large set of covariance matrix estimators.
  • Publication
    Accès libre
    Differential Evolution with DEoptim: An application to non-convex portfolio optimization
    (2011)
    Ardia, David 
    ;
    Boudt, Kris
    ;
    Carl, Peter
    ;
    Mullen, Katharine
    ;
    Peterson, Brian
    The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for financial applications by solving a non-convex optimization problem.