Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization

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 portfolio optimization problem.

MoreLess

Year of publication:	2010-04-15
Authors:	Ardia, David ; Boudt, Kris ; Carl, Peter ; Mullen, Katharine M. ; Peterson, Brian

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian (2010): Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization.
Classification:	G1 - General Financial Markets ; G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	BASE

Persistent link: https://www.econbiz.de/10015221253