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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...