TY - JOUR T1 - A Decision Support System for Cardinality Constrained Portfolio Selection Problem A1 - H. Dehghan Dehnavi A1 - S.A. Seyed-Alagheband A1 - A.N. Sadrabadi JF - international journal of business management JO - INT. J. BUS. MANAG. SN - 2520-3266 Y1 - 2017 VL - 2 IS - 1 SP - 91 EP - 111 N2 - 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. UR - https://sciarena.com/article/a-decision-support-system-for-cardinality-constrained-portfolio-selection-problem ER -