@TechReport{R-2006-05,
  author =   {Giacomo di Tollo and Andrea Roli},
  title =    {Metaheuristics for the Portfolio Selection Problem},
  institution =  {Dipartimento di Scienze, Universit{\`a} ``G.~D'Annunzio'' Chieti--Pescara},
  year =     {2006},
  number =   {R-2006-005},
  series =   {Research series},
  abstract = {The Portfolio selection problem is a relevant problem arising in finance and economics. While its basic formulation can be efficiently solved through linear programming, its more practical and realistic variants, that include various kinds of constraints and objectives, have to be tackled by approximate algorithms. Among the most effective approximate algorithms, are metaheuristic methods that have been proven to be very successful in many applications. This paper presents an overview of the main formulations of the Portfolio selection problem and surveys the literature on the application of metaheuristics to it. 
}