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

Table 3

Experimental results of FA and mFA for CCMV model.

Index	𝑁	Performance indicators	FA	mFA
Hang Seng	31	Mean Euclidean distance	0.0006	0.0003
		Variance of return error (%)	1.7092	1.2387
		Mean return error (%)	0.7172	0.4715
		Execution time	18	20
DAX 100	85	Mean Euclidean distance	0.0032	0.0009
		Variance of return error (%)	7.3892	7.2569
		Mean return error (%)	1.4052	1.3786
		Execution time	67	71
FTSE 100	89	Mean Euclidean distance	0.0005	0.0004
		Variance of return error (%)	2.6391	2.7085
		Mean return error (%)	0.3025	0.3121
		Execution time	81	94
S&P 100	98	Mean Euclidean distance	0.0011	0.0003
		Variance of return error (%)	3.9829	3.6026
		Mean return error (%)	1.0025	0.8993
		Execution time	129	148
Nikkei	225	Mean Euclidean distance	0.0001	0.0000
		Variance of return error (%)	1.7834	1.2015
		Mean return error (%)	0.7283	0.4892
		Execution time	335	367