The Scientific World Journal / 2014 / Article / Tab 1

Research Article

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

Table 1

Parameters.

Parameter Value

Modified FA global control parameters
Number of fireflies-solutions (SN) Depends on
Number of iterations (IN) Depends on SN
Abandonment threshold (AT) Depends on SN and IN
Exploration breakpoint (EBP) Depends on IN

FA search parameters
Initial value for randomization parameter 0.5
Attractiveness at , 0.2
Absorption coefficient 1.0

Portfolio parameters
Number of potential securities ( ) Depends on the problem
Number of assets in portfolio ( ) 10
Initial value of risk aversion ( ) 0
Different values ( ) 51
Lower asset’s weight ( ) 0.01
Upper asset’s weight ( ) 1.0
Lower bound of entropy ( )

Constraint-handling parameters
Initial violation tolerance ( ) 1.0
Decrement (dec) 1.002