PerformanceAnalytics: Econometric tools for performance and risk analysis P Carl, BG Peterson, K Boudt R package version 0.9 9 (2), 2009 | 816* | 2009 |
Differential evolution with DEoptim: an application to non-convex portfolio optimization D Ardia, K Boudt, P Carl, K Mullen, BG Peterson The R Journal 3 (1), 27-34, 2011 | 281 | 2011 |
Estimation and decomposition of downside risk for portfolios with non-normal returns K Boudt, BG Peterson, C Croux Journal of Risk 11 (2), 79-103, 2008 | 174 | 2008 |
DEoptim: An R Package for Global Optimization by Differential Evolution D Ardia, KM Mullen, J Ulrich, BG Peterson | 117* | |
Asset Allocation with conditional value-at-risk budgets K Boudt, P Carl, BG Peterson Journal of Risk 15 (3), 39-68, 2010 | 100 | 2010 |
Component VAR for a non-normal world B Peterson, K Boudt Status: published, 2008 | 15 | 2008 |
Developing & Backtesting Systematic Trading Strategies BG Peterson https://www.researchgate.net/publication …, 2015 | 7 | 2015 |
Large-scale portfolio optimization with DEoptim D Ardia, K Boudt, K Mullen, B Peterson Soft-Computing in Capital Market: Research and Methods of Computational …, 2014 | 7 | 2014 |
PortfolioAnalytics: Portfolio analysis, including numeric methods for optimization of portfolios K Boudt, P Carl, BG Peterson R package version 0.8 2, 2012 | 6 | 2012 |
Hedge fund portfolio selection with modified expected shortfall K Boudt, BG Peterson, P Carl WIT Transactions on Information and Communication Technologies 41, 99-107, 2008 | 6 | 2008 |
PortfolioAnalytics: Portfolio analysis, including numeric methods for optimization of portfolios, 2012 K Boudt, P Carl, BG Peterson URL http://r-forge. r-project. org/projects/returnanalytics/. R package …, 0 | 4 | |
Package ‘RcppDE’ DE extending DEoptim, B Peterson, J Ulrich, MD Eddelbuettel | | 2018 |
Research Replication BG Peterson | | 2016 |
Discussion of Upcoming and Desired Design and Coding Decisions in PortfolioAnalytics (2012) BG Peterson | | 2015 |
Vignette: Portfolio Optimization with CVaR budgets in PortfolioAnalytics K Boudt, P Carl, B Peterson | | 2010 |
Complex portfolio optimization with generalized business objectives P Carl, B Peterson, K Boudt Katholieke Universiteit Leuven, 2010 | | 2010 |
Performance Analysis in R P Carl, B Peterson | | 2009 |
Package ‘FinancialInstrument’ P Carl, BG Peterson, G See, TTR Imports | | |
Control various aspects of the DEoptim implementation D Ardia, K Mullen, B Peterson, J Ulrich | | |