Differential Evolution with DEoptim : An Application to 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 optimization problem

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Year of publication:	2018
Authors:	Ardia, David
Other Persons:	Boudt, Kris (contributor) ; Carl, Peter (contributor) ; Mullen, Katharine (contributor) ; Peterson, Brian G. (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

Extent:	1 Online-Ressource (8 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The R Journal, Vol. 3, No. 1, pp. 27-34, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 5, 2010 erstellt
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G1 - General Financial Markets ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012940644