%0 Journal Article
%T A Decision Support System for Cardinality Constrained Portfolio Selection Problem
%A H. Dehghan Dehnavi
%A S.A. Seyed-Alagheband
%A A.N. Sadrabadi
%J international journal of business management
%@ 2520-3266
%D 2017
%V 2
%N 1
%P 91-111
%X In this paper, we scrutinize the problem of finding the optimal possible tradeoff of risk against return in relation to the standard mean-variance portfolio selection model; including cardinality constraints that limit a portfolio to have a specified number of assets, and to impose limits on the proportion of the portfolio held in a given asset. Chang et al [2] were the first to introduce cardinality constrained portfolio optimization problem and included several algorithms to solve the problem. In this paper, a novel hybrid meta-heuristic algorithm based on genetic algorithm and simulated annealing is developed to improve the results obtained in [2]. Besides, a decision support system based on the hybrid meta-heuristic algorithm is developed to help the investor do tradeoffs between possible portfolios and decide on a suitable portfolio among the assets.
%U https://sciarena.com/article/a-decision-support-system-for-cardinality-constrained-portfolio-selection-problem