Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011

8 Pages Posted: 5 Apr 2010 Last revised: 3 Aug 2018

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Peter Carl

William Blair & Co.; Guidance Capital Management

Katharine Mullen

Government of the United States of America - National Institute of Standards and Technology (NIST)

Brian G. Peterson

University of Washington; Hehmeyer Trading + Investments

Date Written: April 5, 2010

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.

Keywords: Differential optimization, non-convex portfolio optimization, DEoptim, R software

JEL Classification: C61, G1, G11

Suggested Citation

Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine and Peterson, Brian G., Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization (April 5, 2010). The R Journal, Vol. 3, No. 1, pp. 27-34, 2011 . Available at SSRN: https://ssrn.com/abstract=1584905

David Ardia (Contact Author)

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

Peter Carl

William Blair & Co. ( email )

Chicago, IL 60606

Guidance Capital Management ( email )

Chicago, IL
United States

Katharine Mullen

Government of the United States of America - National Institute of Standards and Technology (NIST) ( email )

Gaithersburg, MD 20899-8910
United States

Brian G. Peterson

University of Washington ( email )

Seattle, WA 98195
United States

HOME PAGE: http://https://depts.washington.edu/compfin/about/people/bios/

Hehmeyer Trading + Investments ( email )

601 S. LaSalle
Chicago, IL 60602
United States

HOME PAGE: http://hehmeyer.com/

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