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Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-29
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Medicine
Information Technology and Computer Science
Abstract EN
Portfolio optimization (selection) problem is an important and hard optimization problem that, with the addition of necessary realistic constraints, becomes computationally intractable.
Nature-inspired metaheuristics are appropriate for solving such problems; however, literature review shows that there are very few applications of nature-inspired metaheuristics to portfolio optimization problem.
This is especially true for swarm intelligence algorithms which represent the newer branch of nature-inspired algorithms.
No application of any swarm intelligence metaheuristics to cardinality constrained mean-variance (CCMV) portfolio problem with entropy constraint was found in the literature.
This paper introduces modified firefly algorithm (FA) for the CCMVportfolio model with entropy constraint.
Firefly algorithm is one of the latest, very successful swarm intelligence algorithm; however, it exhibits some deficiencies when applied to constrained problems.
To overcome lack of exploration power during early iterations, we modified the algorithm and tested it on standard portfolio benchmark data sets used in the literature.
Our proposed modified firefly algorithm proved to be better than other state-of-the-art algorithms, while introduction of entropy diversity constraint further improved results.
American Psychological Association (APA)
Bacanin, Nebojsa& Tuba, Milan. 2014. Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint. The Scientific World Journal،Vol. 2014, no. 2014, pp.1-16.
https://search.emarefa.net/detail/BIM-1050764
Modern Language Association (MLA)
Bacanin, Nebojsa& Tuba, Milan. Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint. The Scientific World Journal No. 2014 (2014), pp.1-16.
https://search.emarefa.net/detail/BIM-1050764
American Medical Association (AMA)
Bacanin, Nebojsa& Tuba, Milan. Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint. The Scientific World Journal. 2014. Vol. 2014, no. 2014, pp.1-16.
https://search.emarefa.net/detail/BIM-1050764
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1050764