Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization

Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian (2010): Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Differential optimization; non-convex portfolio optimization; DEoptim; R software
• Subjects: G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis

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