A multi-cut rearrangement of a string S is a string S′ obtained from S by an operation called k-cut rearrangement, that consists of (1) cutting S at a given number k of places in S, making S the concatenated string X1⋅X2⋅X3⋅…⋅Xk⋅Xk+1, where X1 and Xk+1 are possibly empty, and (2) rearranging the Xis so as to obtain S′=Xπ(1)⋅Xπ(2)⋅Xπ(3)⋅…⋅Xπ(k+1), π being a permutation on 1,2,…,k+1 satisfying π(1)=1 and π(k+1)=k+1. Given two strings S and T built on the same multiset of characters from an alphabet Σ, the Sorting by Multi-Cut Rearrangements (SMCR) problem asks whether a given number ℓ of k-cut rearrangements suffices to transform S into T. The SMCR problem generalizes several classical genomic rearrangements problems, such as Sorting by Transpositions and Sorting by Block Interchanges. It may also model chromoanagenesis, a recently discovered phenomenon consisting of massive simultaneous rearrangements. In this paper, we study the SMCR problem from an algorithmic complexity viewpoint. More precisely, we investigate its classical and parameterized complexity, as well as its approximability, in the general case or when S and T are permutations.