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|
|Date of revision:|
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- 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)
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Journal of Statistical Software,
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