Traditionalportfoliotheoryassumesthatthereturnrateofportfoliofollowsnormality.However,thisassumptionisnottruewhenderivativeassetsareincorporated.Inthispaperaportfolioselectionmodelisdevelopedbasedonutilityfunctionwhichcancaptureasymmetriesinrandomvariabledistributions.Otherrealisticconditionsarealsoconsidered,suchasliabilitiesandintegerdecisionvariables.Sincetheresultingmodelisacomplexmixed-integernonlinearprogrammingproblem,simulatedannealingalgorithmisappliedforitssolution.Anumericalexampleisgivenandsensitivityanalysisisconductedforthemodel.
