Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization
Laval University - Département de Finance et Assurance; Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE)
KU Leuven - Faculty of Business and Economics (FBE); Free University of Brussels (VUB); VU University Amsterdam
William Blair & Co.; Guidance Capital Management
Government of the United States of America - National Institute of Standards and Technology (NIST)
Brian G. Peterson
April 5, 2010
The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
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, G11Accepted Paper Series
Date posted: April 5, 2010 ; Last revised: June 24, 2011
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