Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint

Algorithm 1

Original firefly algorithm.

Generate initial population of fireflies 𝑥_𝑖, (𝑖=1,2,3,𝑆𝑁)

Light intensity 𝐼_𝑖 at point 𝑥_𝑖 is defined by 𝑓(𝑥)

Define light absorption coefficient 𝛾

Define number of iterations IN

while  𝑡<𝐼𝑁  do

 for  𝑖=1 to SN  do

  for  𝑗=1 to 𝑖  do

   if  𝐼_𝑗<𝐼_𝑖  then

    Move firefly 𝑗 towards firefly 𝑖 in 𝑑 dimension

    Attractiveness varies with distance 𝑟 via exp[−𝛾𝑟]

    Evaluate new solution, replace the worst with

    better solution and update light intensity

   end if

  end for

 end for

 Rank all fireflies and find the current best

end while