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Differential Evolution with DEoptim: An Application to Non-Convex Portfolio OptimizationDavid ArdiaLaval University - Département de Finance et Assurance; Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) Kris BoudtKU Leuven - Faculty of Business and Economics (FBE); Free University of Brussels (VUB); VU University Amsterdam Peter CarlWilliam Blair & Co.; Guidance Capital Management Katharine MullenGovernment of the United States of America - National Institute of Standards and Technology (NIST) Brian G. PetersonDV Trading April 5, 2010 The R Journal, Vol. 3, No. 1, pp. 27-34, 2011 Abstract: 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.
Number of Pages in PDF File: 8 Keywords: Differential optimization, non-convex portfolio optimization, DEoptim, R software JEL Classification: C61, G1, G11 Accepted Paper SeriesDate posted: April 5, 2010 ; Last revised: June 24, 2011Suggested CitationContact Information
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