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Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization

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

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.

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File URL: http://mpra.ub.uni-muenchen.de/22135/1/MPRA_paper_22135.pdf
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File URL: http://mpra.ub.uni-muenchen.de/28187/1/MPRA_paper_28187.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22135.

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Date of creation: 15 Apr 2010
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Handle: RePEc:pra:mprapa:22135
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  1. O. Scaillet, 2004. "Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 115-129.
  2. Jan Börner & Steven I. Higgins & Jochen Kantelhardt & Simon Scheiter, 2007. "Rainfall or price variability: what determines rangeland management decisions? A simulation-optimization approach to South African savannas," Agricultural Economics, International Association of Agricultural Economists, vol. 37(2-3), pages 189-200, 09.
  3. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
  4. Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
  5. Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2009. "DEoptim: An R Package for Global Optimization by Differential Evolution," MPRA Paper 21743, University Library of Munich, Germany, revised 26 Dec 2010.
  6. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09032, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  7. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  8. Higgins, Steven I. & Kantelhardt, Jochen & Scheiter, Simon & Boerner, Jan, 2007. "Sustainable management of extensively managed savanna rangelands," Ecological Economics, Elsevier, vol. 62(1), pages 102-114, April.
  9. Maringer Dietmar G. & Meyer Mark, 2008. "Smooth Transition Autoregressive Models -- New Approaches to the Model Selection Problem," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-21, March.
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