Differential Evolution with DEoptim: An application to non-convex portfolio optimization
David Ardia, Kris Boudt, Peter Carl, Katharine Mullen & Brian Peterson
| Résumé |
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. |
| Mots-clés |
Differential optimization, non-convex portfolio optimization, DEoptim, R software |
| Citation | Ardia, D., Boudt, K., Carl, P., Mullen , K., & Peterson, B. (2011). Differential Evolution with DEoptim: An application to non-convex portfolio optimization. The R Journal, 3(1), 27-34. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2011 |
| Nom du périodique | The R Journal |
| Volume | 3 |
| Numéro | 1 |
| Pages | 27-34 |
| URL | https://journal.r-project.org/archive/2011-1/RJournal_201... |