Differential Evolution with DEoptim An Application to Non-Convex Portfolio Optimization

被引：1

作者：

Ardia, David

Boudt, Kris ^{[1
]}

Carl, Peter ^{[2
]}

Mullen, Katharine M. ^{[3
]}

Peterson, Brian G. ^{[4
]}

机构：

[1] Katholieke Univ Leuven, Louvain, Belgium

[2] Guidance Capital Management, Chicago, IL USA

[3] NIST, Gaithersburg, MD 20899 USA

[4] Cheiron Trading, Chicago, IL USA

来源：

R JOURNAL | 2011年 / 3卷 / 01期

关键词：

GLOBAL OPTIMIZATION;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The R package DEoptim implements the Differential Evolution algorithm. This algorithm is an evolutionary technique similar to classic 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.

引用

页码：27 / 34

页数：8

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