hybrid search for cardinality constrained portfolio optimization
In this paper, we describe how a genetic algorithm approach added to a simulated annealing (SA) process offers a better alternative to find the mean variance frontier in the portfolio selection process. The nonlinear mixed integer quadratic programming model is considerably more difficult to solve than the original model; but some computational experiments have shown that hybrid heuristics offer a good alternative for these types of problems.
portfolio selection markowitz model mixed integer programming