Geodesic
Heuristic algorithm for the cardinality constrained portfolio optimization problem
Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 13 (2013) no. 2, pp. 92-95

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In the paper we consider the cardinality constrained portfolio optimization problem. Constraint on the number of assets in portfolio leads to the mixed integer optimization problem. Effective frontier is constructed using the metaheuristic approach by genetic algorithm. 
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     author = {A. A. Homchenko and C. Lucas and S. V. Mironov and S. P. Sidorov},
     title = {Heuristic algorithm for the cardinality constrained portfolio optimization problem},
     journal = {Izvestiya of Saratov University. Mathematics. Mechanics. Informatics},
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     url = {http://geodesic.mathdoc.fr/item/ISU_2013_13_2_a14/}
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A. A. Homchenko; C. Lucas; S. V. Mironov; S. P. Sidorov. Heuristic algorithm for the cardinality constrained portfolio optimization problem. Izvestiya of Saratov University. Mathematics. Mechanics. Informatics, Tome 13 (2013) no. 2, pp. 92-95. http://geodesic.mathdoc.fr/item/ISU_2013_13_2_a14/