Geodesic
Differential evolution algorithm for solving the portfolio optimization problem
Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 13 (2013) no. 2, pp. 88-91

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In the paper we develop metaheuristic method based on differential evolution for finding efficient frontier in solving the portfolio optimisation problem for investor with non concave utility function which reflects asymmetric investor attitude to losses and gains. 
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     title = {Differential evolution algorithm for solving the portfolio optimization problem},
     journal = {Izvestiya of Saratov University. Mathematics. Mechanics. Informatics},
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A. A. Homchenko; N. P. Grishina; C. Lucas; S. P. Sidorov. Differential evolution algorithm for solving the portfolio optimization problem. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 13 (2013) no. 2, pp. 88-91. http://geodesic.mathdoc.fr/item/ISU_2013_13_2_a13/