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

Table 1

Parameters.

Parameter	Value
Modified FA global control parameters
Number of fireflies-solutions (SN)	Depends on 𝑁
Number of iterations (IN)	Depends on SN
Abandonment threshold (AT)	Depends on SN and IN
Exploration breakpoint (EBP)	Depends on IN
FA search parameters
Initial value for randomization parameter 𝛼	0.5
Attractiveness at 𝑟=0, 𝛽0	0.2
Absorption coefficient 𝛾	1.0
Portfolio parameters
Number of potential securities (𝑁)	Depends on the problem
Number of assets in portfolio (𝐾)	10
Initial value of risk aversion (𝜆)	0
Different 𝜆 values (𝜉)	51
Lower asset’s weight (𝜀)	0.01
Upper asset’s weight (𝛿)	1.0
Lower bound of entropy (𝐿𝐸)	[0,ln𝐾]
Constraint-handling parameters
Initial violation tolerance (𝜐)	1.0
Decrement (dec)	1.002