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我使用 optimize.portfolio 和求解器 DEoptim（目标为 -0.1 的 maxDrawdown 风险目标和最大回报目标）创建最佳投资组合。但是当我绘制优化的投资组合对象时，这个投资组合似乎并不是最优的，因为存在具有相同回撤和更好回报的投资组合。有人可以解释一下吗？

library('PortfolioAnalytics')
library('PerformanceAnalytics')
library('DEoptim')

data(edhec)
ret <- edhec[, 1:10]

init.portf <- portfolio.spec(assets=colnames(ret))
init.portf <- add.constraint(portfolio=init.portf, type="full_investment")
init.portf <- add.constraint(portfolio=init.portf, type="long_only")

group_list <- list(group1=c(3),
                   group2=c(1, 2),
                   group3=c(5, 7, 8))

init.portf <- add.constraint(portfolio= init.portf, 
                             type="group", 
                             groups=group_list,
                             group_min=c(0.03, 0, 0),
                             group_max=c(0.032, 0.2, 0.3))


ret.obj.portf <- add.objective(portfolio=init.portf, type="return", 
                               name="mean")


ret.obj.portf <- add.objective(portfolio = ret.obj.portf,
                               type = 'risk',
                               name = 'maxDrawdown',
                               arguments = list(inverse=TRUE),
                               target = -0.1)


ret.obj.portf$constraints[[1]]$min_sum <- 0.99
ret.obj.portf$constraints[[1]]$max_sum <- 1.01
ret.obj.portf


set.seed(123)
opt.obj.no1.1 <- optimize.portfolio(R=ret, portfolio=ret.obj.portf,
                                    optimize_method="DEoptim", search_size=2000, trace=TRUE)
opt.obj.no1.1


chart.RiskReward(opt.obj.no1.1, 
                 main = 'Optimized Portfolio: max return and 10% maxDD, all investments allowed',
                 return.col = "mean", risk.col = 'maxDrawdown')
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