The Scientific World Journal / 2014 / Article / Tab 5

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 (%) 1.27911.9078 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 (%) 3.48025.7139 5.4247 3.9136 3.6026
Mean return error (%)1.2258 0.71250.8416 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 0.41260.7997 0.4892
Execution time 742 234 286 919 367

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