Research Article
Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint
Table 5
Experimental results for five metaheuristics.
| Index | | Performance indicators | GA | TS | SA | PSO | mFA |
| Hang Seng | 31 | Mean Euclidean distance | 0.0040 | 0.0040 | 0.0040 | 0.0049 | 0.0003 | Variance of return error (%) | 1.6441 | 1.6578 | 1.6628 | 2.2421 | 1.2387 | Mean return error (%) | 0.6072 | 0.6107 | 0.6238 | 0.7427 | 0.4715 | Execution time | 18 | 9 | 10 | 34 | 20 |
| DAX 100 | 85 | Mean Euclidean distance | 0.0076 | 0.0082 | 0.0078 | 0.0090 | 0.0009 | Variance of return error (%) | 7.2180 | 9.0309 | 8.5485 | 6.8588 | 7.2569 | Mean return error (%) | 1.2791 | 1.9078 | 1.2817 | 1.5885 | 1.3786 | Execution time | 99 | 42 | 52 | 179 | 71 |
| FTSE 100 | 89 | Mean Euclidean distance | 0.0020 | 0.0021 | 0.0021 | 0.0022 | 0.0004 | Variance of return error (%) | 2.8660 | 4.0123 | 3.8205 | 3.0596 | 2.7085 | Mean return error (%) | 0.3277 | 0.3298 | 0.3304 | 0.3640 | 0.3121 | Execution time | 106 | 42 | 55 | 190 | 94 |
| S&P 100 | 98 | Mean Euclidean distance | 0.0041 | 0.0041 | 0.0041 | 0.0052 | 0.0003 | Variance of return error (%) | 3.4802 | 5.7139 | 5.4247 | 3.9136 | 3.6026 | Mean return error (%) | 1.2258 | 0.7125 | 0.8416 | 1.4040 | 0.8993 | Execution time | 126 | 51 | 66 | 214 | 148 |
| Nikkei | 225 | Mean Euclidean distance | 0.0093 | 0.0010 | 0.0010 | 0.0019 | 0.0000 | Variance of return error (%) | 1.2056 | 1.2431 | 1.2017 | 2.4274 | 1.2015 | Mean return error (%) | 5.3266 | 0.4207 | 0.4126 | 0.7997 | 0.4892 | Execution time | 742 | 234 | 286 | 919 | 367 |
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