In this paper we present a new hybrid method, called SASP method. We propose the
hybridization of two methods, the simulated annealing (SA), which belong to the class of
global optimization based on the principles of thermodynamics, and the descent method were
we estimate the gradient using the simultaneous perturbation. This hybrid method gives
better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP
method to solve a portfolio optimization problem. Such problem is a multi-objective
optimization problem, in order to solve this problem we use three statistical quantities:
the expected value, the variance and the Conditional Value-at-Risk (CVaR). The purpose of
this work is to find the efficient boundary of the considered multi-objective problem
using the NBI method based on the SASP method