Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
David Ardia, Kris Boudt, P. Carl, K. Mullen, Brian G. Peterson
2010.4.15R Journal
tlooto Summary
The R package DEoptim implements the differential evolution algorithm, an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems, by solving a non-convex portfolio optimization problem.
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.
Citation format
ARDIA, David, et al. Differential evolution (deoptim) for non-convex portfolio optimization. R Journal, 2010, 3: 27–34.