Examples and Extensions for the NMOF Package

48 Pages Posted: 15 Jul 2011 Last revised: 10 May 2012

Date Written: February 10, 2012

Abstract

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

Schumann, Enrico, Examples and Extensions for the NMOF Package (February 10, 2012). Available at SSRN: https://ssrn.com/abstract=1886522 or http://dx.doi.org/10.2139/ssrn.1886522

Enrico Schumann (Contact Author)

Independent ( email )

No Address Available

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