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NMOF: Numerical Methods and Optimization in Finance
Functions, examples and data from the book 'Numerical Methods and Optimization in Finance' by M. Gilli, D. Maringer and E. Schumann. The package contains, in particular, implementations of several optimisation heuristics (such as Differential Evolution, Genetic Algorithms and Threshold Accepting).
Getting started
Package overview
Asset selection with Local Search
Examples for the qTable function
Fitting the Nelson--Siegel--Svensson model with Differential Evolution
Portfolio Optimisation with Threshold Accepting
Repairing solutions
Robust Regression with Particle Swarm Optimisation and Differential Evolution
Vectorised objective functions
Browse package contents
Package details |
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| Author | Enrico Schumann |
| Maintainer | Enrico Schumann <es@enricoschumann.net> |
| License | GPL-3 |
| Version | 0.28-2 |
| URL | http://nmof.net http://enricoschumann.net/NMOF.htm |
| Package repository | View on R-Forge |
| Installation |
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