Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
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.
|Date of creation:||15 Apr 2010|
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- Manfred Gilli & Peter Winker, 2008.
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- Manfred GILLI & Peter WINKER, . "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
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- Mullen, Katharine M. & Ardia, David & Gil, David L. & Windover, Donald & Cline, James, 2009.
"DEoptim: An R Package for Global Optimization by Differential Evolution,"
21743, University Library of Munich, Germany, revised 26 Dec 2010.
- Katharine M. Mullen & David Ardia & David L. Gil & Donald Windover & James Cline, . "DEoptim: An R Package for Global Optimization by Differential Evolution," Journal of Statistical Software, American Statistical Association, vol. 40(i06).
- 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".
- Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Center for Economic Research (RECent) 021, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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- Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
- 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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