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

Ardia, David; Boudt, Kris; Carl, Peter; Mullen, Katharine; Peterson, Brian G.

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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; Sentometrics

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 Illinois at Urbana-Champaign - Department of Finance

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: Suggested Citation

Ardia, David and Boudt, Kris and Carl, Peter 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