A new hybrid algorithm based PSO and SA to solve a developed portfolio selection problem

In this paper, we propose a new portfolio selection model based on Markowitz basic model. Because of inherent specification of the problem, a quadratic integer model is presented. An extended simulated annealing based metaheuristic algorithm is presented, to solve the mentioned model. To compare the algorithm’s efficiency, it is compared with genetic algorithm. Computational results show the excellence of the proposed algorithm in most examples.