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

Table 4

Experimental results of mFA for CCMV model with and without entropy constraint.

Index	𝑁	Performance indicators	mFA for CCMV	mFA for CCMV with entropy
Hang Seng	31	Mean Euclidean distance	0.0004	0.0003
		Variance of return error (%)	1.2452	1.2387
		Mean return error (%)	0.4897	0.4715
		Execution time	20	20
DAX 100	85	Mean Euclidean distance	0.0009	0.0009
		Variance of return error (%)	7.2708	7.2569
		Mean return error (%)	1.3801	1.3786
		Execution time	70	71
FTSE 100	89	Mean Euclidean distance	0.0004	0.0004
		Variance of return error (%)	2.7236	2.7085
		Mean return error (%)	0.3126	0.3121
		Execution time	92	94
S&P 100	98	Mean Euclidean distance	0.0004	0.0003
		Variance of return error (%)	3.6135	3.6026
		Mean return error (%)	0.8997	0.8993
		Execution time	146	148
Nikkei	225	Mean Euclidean distance	0.0000	0.0000
		Variance of return error (%)	1.1927	1.2015
		Mean return error (%)	0.464	0.4892
		Execution time	360	367