Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization

David Ardia, Kris Boudt, Peter Carl, Katharine M. Mullen and Brian Peterson

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Differential optimization; non-convex portfolio optimization; DEoptim; R software (search for similar items in EconPapers)
JEL-codes: C61 G1 G11 (search for similar items in EconPapers)
Date: 2010-04-15
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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https://mpra.ub.uni-muenchen.de/28187/1/MPRA_paper_28187.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22135

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