At Ny Carlsberg Glyptotek.
From Wikipedia: In Greek mythology, Perseus, the legendary founder of Mycenae and of the Perseid dynasty of Danaans, was the first hero. Perseus beheaded the Gorgon Medusa and saved Andromeda from the sea monster Cetus. Perseus was the son of the mortal Danaë and the god Zeus. He was also the great grandfather of Heracles, also a son of Zeus.