Research Article
Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint
Algorithm 4
Modified firefly with parameters.
| while do | | Set portfolio problem parameters , and | InitializationPhase() | ArrangementAlgorithm() | FitnessCalculation() | Set UIC to 0 and calculate AT value according to (42) | Set initial values for and | | for to IN do | Firefly movement | Apply Selection between old and new solution using Deb rules | Exploration phase (if necessary) | ArrangementAlgorithm() | Rank all fireflies and find the current best | Recalculate values for and | | end for | | end while |
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