Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
Katharine M. Mullen and
MPRA Paper from University Library of Munich, Germany
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: G1 G11 C61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-evo and nep-ore
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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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