Mamanis, Georgios; Anagnostopoulos, Konstantinos P. - In: International Journal of Financial Markets and Derivatives 2 (2011) 1/2, pp. 50-67
We solve different constrained mean-risk portfolio optimisation models using a recently developed simulated annealing-based multiobjective optimisation algorithm. We consider practical and widely used constraints in portfolio modelling, i.e., the cardinality constraint which imposes a limit on...