  We consider the problem of rational decision making in the presence of
nonlinear constraints. By using tools borrowed from spin glass and random
matrix theory, we focus on the portfolio optimisation problem. We show that the
number of ``optimal'' solutions is generically exponentially large: rationality
is thus de facto of limited use. In addition, this problem is related to spin
glasses with L\'evy-like (long-ranged) couplings, for which we show that the
ground state is not exponentially degenerate.
