Examples and Extensions for the NMOF Package
48 Pages Posted: 15 Jul 2011 Last revised: 10 May 2012
Date Written: February 10, 2012
This paper gives a number of examples (portfolio optimisation, selecting variables for a regression model) for the R-package NMOF that accompanies the book 'Numerical Methods and Optimization in Finance' by Manfred Gilli, Dietmar Maringer and Enrico Schumann.
Keywords: Heuristics, Portfolio optimisation, Asset selection, Model selection, Threshold Accepting, Differential Evolution, Genetic Algorithms, Particle Swarm, R
JEL Classification: C61, C63
Suggested Citation: Suggested Citation