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 | 70 | 71 |
| 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 | 92 | 94 |
| 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 | 146 | 148 |
| Nikkei | 225 | Mean Euclidean distance | 0.0000 | 0.0000 | Variance of return error (%) | 1.1927 | 1.2015 | Mean return error (%) | 0.464 | 0.4892 | Execution time | 360 | 367 |
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