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.
DEoptim, PortfolioAnalytics, quantmod, PerformanceAnalytics
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For attribution, please cite this work as
Ardia, et al., "The R Journal: Differential Evolution with DEoptim", The R Journal, 2011
BibTeX citation
@article{RJ-2011-005,
author = {Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian G.},
title = {The R Journal: Differential Evolution with DEoptim},
journal = {The R Journal},
year = {2011},
note = {https://doi.org/10.32614/RJ-2011-005},
doi = {10.32614/RJ-2011-005},
volume = {3},
issue = {1},
issn = {2073-4859},
pages = {27-34}
}