@TechReport{R-2006-002,
  author =   {Giacomo di Tollo},
  title =    {Portfolio Selection Problem by metaheuristics:
an annotated bibliography},
  institution =  {Dipartimento di Scienze, Universit{\`a} ``G.~D'Annunzio'' Chieti--Pescara},
  year =     {2006},
  number =   {R-2006-002},
  series =   {Research series},
  abstract = {Portfolio Selection Problem (PSP) is one of the most studied issues in finance: It is concerned with selecting the portfolio of assets which minimize the risk given a certain level of^M
returns. The PSP belongs to the class of combinatorial optimization problems and adding constraints to the basic formulation lead the problem to be NP-Hard, so metaheuristic approaches can be succesfully applied to solve the problem. This work is aimed in developing a conceptual analysis about Metaheuristic approaches developed in literature to this extent, introducing the problem, classifying the general concepts and outlining the most used strategies.}