The Scientific World Journal / 2014 / Article / Tab 3

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 1820

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 6771

FTSE 100 89 Mean Euclidean distance 0.0005 0.0004
Variance of return error (%) 2.63912.7085
Mean return error (%) 0.30250.3121
Execution time 8194

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 129148

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 335367

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