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

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

Posted: 5 Apr 2010 Last revised: 14 Dec 2015

David Ardia

University of Neuchatel - Institute of Financial Analysis; Laval University - D├ępartement de Finance et Assurance

Kris Boudt

Vrije Universiteit Brussel (VUB); VU University 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

DV Trading

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)

University of Neuchatel - Institute of Financial Analysis ( email )

Rue A.-L. Breguet 2
Neuchatel, CH-2000
Switzerland

Laval University - D├ępartement de Finance et Assurance ( email )

Pavillon Palasis-Prince
Quebec G1K 7P4
Canada

Kris Boudt

Vrije Universiteit Brussel (VUB) ( email )

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

VU University 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

DV Trading ( email )

216 W. Jackson, Suite 310
Chicago, IL 60605
United States
773-459-4973 (Phone)

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