A novel firefly algorithm for portfolio optimization problem

Firefly algorithm is an effective and global searching algorithm which has been widely used in a lot of areas successfully. This paper proposes an improved firefly algorithm that is called DFA algorithm and focuses on the application of DFA to the portfolio optimization problem. The experimental results show that DFA algorithm is more efficient than genetic algorithm, particle swarm optimization algorithm, differential evolution algorithm and firefly algorithm, and it has higher convergence precision and faster convergence speed. © 2019, International Association of Engineers.