Research Article
Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint
Table 3
Experimental results of FA and mFA for CCMV model.
| Index | | Performance indicators | FA | mFA |
| Hang Seng | 31 | Mean Euclidean distance | 0.0006 | 0.0003 | Variance of return error (%) | 1.7092 | 1.2387 | Mean return error (%) | 0.7172 | 0.4715 | Execution time | 18 | 20 |
| DAX 100 | 85 | Mean Euclidean distance | 0.0032 | 0.0009 | Variance of return error (%) | 7.3892 | 7.2569 | Mean return error (%) | 1.4052 | 1.3786 | Execution time | 67 | 71 |
| FTSE 100 | 89 | Mean Euclidean distance | 0.0005 | 0.0004 | Variance of return error (%) | 2.6391 | 2.7085 | Mean return error (%) | 0.3025 | 0.3121 | Execution time | 81 | 94 |
| S&P 100 | 98 | Mean Euclidean distance | 0.0011 | 0.0003 | Variance of return error (%) | 3.9829 | 3.6026 | Mean return error (%) | 1.0025 | 0.8993 | Execution time | 129 | 148 |
| Nikkei | 225 | Mean Euclidean distance | 0.0001 | 0.0000 | Variance of return error (%) | 1.7834 | 1.2015 | Mean return error (%) | 0.7283 | 0.4892 | Execution time | 335 | 367 |
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