The Scientific World Journal / 2014 / Article / Tab 4

Research Article

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 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 7071

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 9294

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 146148

Nikkei 225 Mean Euclidean distance 0.0000 0.0000
Variance of return error (%) 1.19271.2015
Mean return error (%) 0.4640.4892
Execution time 360367

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