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.

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Year of publication:	2010-04-15
Authors:	Ardia, David ; Boudt, Kris ; Carl, Peter ; Mullen, Katharine M. ; Peterson, Brian
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Differential optimization \| non-convex portfolio optimization \| DEoptim \| R software

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G1 - General Financial Markets ; G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008470475