Research Article

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

Table 2

Benchmark specific parameters.

Parameter Value

Hang Seng index with 31 assets
Number of fireflies-solutions (SN) 111
Number of iterations (IN) 279
Abandonment threshold (AT) 3
Exploration breakpoint (EBP) 140

DAX 100 index with 85 assets
Number of fireflies-solutions (SN) 185
Number of iterations (IN) 459
Abandonment threshold (AT) 3
Exploration breakpoint (EBP) 230

FTSE 100 index with 89 assets
Number of fireflies-solutions (SN) 189
Number of iterations (IN) 479
Abandonment threshold (AT) 3
Exploration breakpoint (EBP) 240

S&P 100 index with 98 assets
Number of fireflies-solutions (SN) 198
Number of iterations (IN) 494
Abandonment threshold (AT) 3
Exploration breakpoint (EBP) 247

Nikkei index with 225 assets
Number of fireflies-solutions (SN) 300
Number of iterations (IN) 750
Abandonment threshold (AT) 3
Exploration breakpoint (EBP) 375