{"id":"https://openalex.org/W4401707084","doi":"https://doi.org/10.3390/computation12080166","title":"Robust Portfolio Mean-Variance Optimization for Capital Allocation in Stock Investment Using the Genetic Algorithm: A Systematic Literature Review","display_name":"Robust Portfolio Mean-Variance Optimization for Capital Allocation in Stock Investment Using the Genetic Algorithm: A Systematic Literature Review","publication_year":2024,"publication_date":"2024-08-18","ids":{"openalex":"https://openalex.org/W4401707084","doi":"https://doi.org/10.3390/computation12080166"},"language":"en","primary_location":{"id":"doi:10.3390/computation12080166","is_oa":true,"landing_page_url":"https://doi.org/10.3390/computation12080166","pdf_url":"https://www.mdpi.com/2079-3197/12/8/166/pdf?version=1723972843","source":{"id":"https://openalex.org/S2738402919","display_name":"Computation","issn_l":"2079-3197","issn":["2079-3197"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/2079-3197/12/8/166/pdf?version=1723972843","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5064355371","display_name":"Diandra Chika Fransisca","orcid":null},"institutions":[{"id":"https://openalex.org/I91819753","display_name":"Padjadjaran University","ror":"https://ror.org/00xqf8t64","country_code":"ID","type":"education","lineage":["https://openalex.org/I91819753"]}],"countries":["ID"],"is_corresponding":true,"raw_author_name":"Diandra Chika Fransisca","raw_affiliation_strings":["Doctoral Program in Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia"],"raw_orcid":"https://orcid.org/0009-0002-4061-5002","affiliations":[{"raw_affiliation_string":"Doctoral Program in Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia","institution_ids":["https://openalex.org/I91819753"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5012582984","display_name":"Sukono Sukono","orcid":"https://orcid.org/0000-0003-2608-9712"},"institutions":[{"id":"https://openalex.org/I91819753","display_name":"Padjadjaran University","ror":"https://ror.org/00xqf8t64","country_code":"ID","type":"education","lineage":["https://openalex.org/I91819753"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Sukono","raw_affiliation_strings":["Departement of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia"],"raw_orcid":"https://orcid.org/0000-0003-2608-9712","affiliations":[{"raw_affiliation_string":"Departement of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia","institution_ids":["https://openalex.org/I91819753"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5091730715","display_name":"Diah Chaerani","orcid":"https://orcid.org/0000-0002-2073-1754"},"institutions":[{"id":"https://openalex.org/I91819753","display_name":"Padjadjaran University","ror":"https://ror.org/00xqf8t64","country_code":"ID","type":"education","lineage":["https://openalex.org/I91819753"]}],"countries":["ID"],"is_corresponding":false,"raw_author_name":"Diah Chaerani","raw_affiliation_strings":["Departement of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia"],"raw_orcid":"https://orcid.org/0000-0002-2073-1754","affiliations":[{"raw_affiliation_string":"Departement of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Sumedang 45363, Indonesia","institution_ids":["https://openalex.org/I91819753"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046814585","display_name":"Nurfadhlina Abdul Halim","orcid":"https://orcid.org/0000-0003-4417-3096"},"institutions":[{"id":"https://openalex.org/I112982808","display_name":"Universiti Sains Islam Malaysia","ror":"https://ror.org/020ast312","country_code":"MY","type":"education","lineage":["https://openalex.org/I112982808"]}],"countries":["MY"],"is_corresponding":false,"raw_author_name":"Nurfadhlina Abdul Halim","raw_affiliation_strings":["Faculty of Science and Technology, University Sains Islam Malaysia, Bandar Baru Nilai, Nilai 71800, Negeri Sembilan, Malaysia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Science and Technology, University Sains Islam Malaysia, Bandar Baru Nilai, Nilai 71800, Negeri Sembilan, Malaysia","institution_ids":["https://openalex.org/I112982808"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5064355371"],"corresponding_institution_ids":["https://openalex.org/I91819753"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1515},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1515},"fwci":4.6929,"has_fulltext":true,"cited_by_count":10,"citation_normalized_percentile":{"value":0.9502426,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":99},"biblio":{"volume":"12","issue":"8","first_page":"166","last_page":"166"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9958999752998352,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6910801529884338},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.6490474343299866},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5549995303153992},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5323740839958191},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.5065451860427856},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"Asset allocation","score":0.4934166967868805},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4854617714881897},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.44005703926086426},{"id":"https://openalex.org/keywords/systematic-risk","display_name":"Systematic risk","score":0.4386637806892395},{"id":"https://openalex.org/keywords/capital-allocation-line","display_name":"Capital allocation line","score":0.4309638738632202},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.4217613637447357},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3035871982574463},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24162670969963074},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.21684670448303223},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.20046257972717285},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.09463825821876526}],"concepts":[{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6910801529884338},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.6490474343299866},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5549995303153992},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5323740839958191},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5065451860427856},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.4934166967868805},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4854617714881897},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.44005703926086426},{"id":"https://openalex.org/C80212096","wikidata":"https://www.wikidata.org/wiki/Q1975416","display_name":"Systematic risk","level":2,"score":0.4386637806892395},{"id":"https://openalex.org/C138142054","wikidata":"https://www.wikidata.org/wiki/Q5035692","display_name":"Capital allocation line","level":3,"score":0.4309638738632202},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.4217613637447357},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3035871982574463},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24162670969963074},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.21684670448303223},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.20046257972717285},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.09463825821876526},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.3390/computation12080166","is_oa":true,"landing_page_url":"https://doi.org/10.3390/computation12080166","pdf_url":"https://www.mdpi.com/2079-3197/12/8/166/pdf?version=1723972843","source":{"id":"https://openalex.org/S2738402919","display_name":"Computation","issn_l":"2079-3197","issn":["2079-3197"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computation","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:7bd8b8e48f284be0a0d1fe2857fa196d","is_oa":true,"landing_page_url":"https://doaj.org/article/7bd8b8e48f284be0a0d1fe2857fa196d","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Computation, Vol 12, Iss 8, p 166 (2024)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/2079-3197/12/8/166/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/computation12080166","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Computation","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.3390/computation12080166","is_oa":true,"landing_page_url":"https://doi.org/10.3390/computation12080166","pdf_url":"https://www.mdpi.com/2079-3197/12/8/166/pdf?version=1723972843","source":{"id":"https://openalex.org/S2738402919","display_name":"Computation","issn_l":"2079-3197","issn":["2079-3197"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computation","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7498279747","display_name":null,"funder_award_id":"1564/UN6.3.1/PT.00/2024","funder_id":"https://openalex.org/F4320329092","funder_display_name":"Universitas Padjadjaran"},{"id":"https://openalex.org/G7937771343","display_name":null,"funder_award_id":"/UN6.3.1/PT.00/","funder_id":"https://openalex.org/F4320329092","funder_display_name":"Universitas Padjadjaran"}],"funders":[{"id":"https://openalex.org/F4320329092","display_name":"Universitas Padjadjaran","ror":"https://ror.org/00xqf8t64"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4401707084.pdf","grobid_xml":"https://content.openalex.org/works/W4401707084.grobid-xml"},"referenced_works_count":36,"referenced_works":["https://openalex.org/W1021000864","https://openalex.org/W1519483797","https://openalex.org/W2049967755","https://openalex.org/W2060156946","https://openalex.org/W2084507786","https://openalex.org/W2118578357","https://openalex.org/W2125520394","https://openalex.org/W2139755682","https://openalex.org/W2142640031","https://openalex.org/W2144487825","https://openalex.org/W2151237529","https://openalex.org/W2599699595","https://openalex.org/W2750790593","https://openalex.org/W2755950973","https://openalex.org/W2758670583","https://openalex.org/W2793202165","https://openalex.org/W2900637179","https://openalex.org/W2912000148","https://openalex.org/W2923227098","https://openalex.org/W2942563804","https://openalex.org/W2957191280","https://openalex.org/W3005254387","https://openalex.org/W3010087591","https://openalex.org/W3021248164","https://openalex.org/W3035617004","https://openalex.org/W3096123305","https://openalex.org/W3150191368","https://openalex.org/W4284691923","https://openalex.org/W4312340848","https://openalex.org/W4361247728","https://openalex.org/W4386945827","https://openalex.org/W4393187519","https://openalex.org/W6631020681","https://openalex.org/W6780160657","https://openalex.org/W6807091881","https://openalex.org/W6847804849"],"related_works":["https://openalex.org/W85598058","https://openalex.org/W4384826939","https://openalex.org/W4210656165","https://openalex.org/W1551592993","https://openalex.org/W3144857878","https://openalex.org/W2143878303","https://openalex.org/W3021970279","https://openalex.org/W3123004315","https://openalex.org/W2055245189","https://openalex.org/W2487162578"],"abstract_inverted_index":{"Traditional":[0],"mean-variance":[1,53],"(MV)":[2],"models,":[3],"considered":[4],"effective":[5],"in":[6,12,35,55,122,290,301],"stable":[7,249],"conditions,":[8],"often":[9],"prove":[10],"inadequate":[11],"uncertain":[13,279],"market":[14,156,265],"scenarios.":[15],"Therefore,":[16],"there":[17],"is":[18],"a":[19,45,71,111,120,245,269],"need":[20],"for":[21,98,272],"more":[22,248],"robust":[23,51,80,116,136],"and":[24,33,38,77,101,119,140,143,229,235,250,296],"better":[25],"portfolio":[26,52,81,294,303],"optimization":[27,82,117,132,169,304],"methods":[28,83,118],"to":[29,43,68,89,114,124,148,160,165,180,275,287],"handle":[30],"the":[31,75,91,94,108,161,167,187,191,215,230,236,240,260,297],"fluctuations":[32],"uncertainties":[34],"asset":[36,291],"returns":[37,253],"covariances.":[39],"This":[40,158],"study":[41,285],"aims":[42],"perform":[44],"Systematic":[46,99],"Literature":[47],"Review":[48],"(SLR)":[49],"on":[50],"(RPMV)":[54],"stock":[56],"investment":[57],"utilizing":[58],"genetic":[59],"algorithms":[60],"(GAs).":[61],"The":[62,86,105,127,281],"SLR":[63,92,109],"covered":[64],"studies":[65],"from":[66,198],"1995":[67],"2024,":[69],"allowing":[70],"thorough":[72],"analysis":[73],"of":[74,79,107,152,163,190,283,299],"evolution":[76],"effectiveness":[78,298],"over":[84],"time.":[85,315],"method":[87,262],"used":[88],"conduct":[90],"followed":[93],"Preferred":[95],"Reporting":[96],"Items":[97],"Reviews":[100],"Meta-Analysis":[102],"(PRISMA)":[103],"guidelines.":[104],"result":[106],"presented":[110],"novel":[112],"strategy":[113],"combine":[115],"GA":[121,246],"order":[123],"enhance":[125],"RPMV.":[126],"uncertainty":[128,289],"parameters,":[129,135,295],"cardinality":[130],"constraints,":[131,133],"risk-aversion":[134],"covariance":[137],"estimators,":[138],"relative":[139],"absolute":[141],"robustness,":[142],"parameters":[144,179],"adopted":[145],"were":[146],"unable":[147],"develop":[149],"portfolios":[150,277],"capable":[151],"maintaining":[153],"performance":[154],"despite":[155],"uncertainties.":[157],"led":[159],"inclusion":[162],"GAs":[164,300],"solve":[166],"complex":[168],"problems":[170,305],"associated":[171],"with":[172,244,255,311],"RPMV":[173,241],"efficiently,":[174],"as":[175,177,204],"well":[176],"fine-tuning":[178],"improve":[181],"solution":[182],"accuracy.":[183],"In":[184],"three":[185],"papers,":[186],"empirical":[188],"validation":[189],"results":[192,237],"was":[193,247],"conducted":[194],"using":[195],"historical":[196],"data":[197],"different":[199],"global":[200],"capital":[201],"markets":[202],"such":[203],"Hang":[205],"Seng":[206],"(Hong":[207],"Kong),":[208],"Data":[209],"Analysis":[210],"Expressions":[211],"(DAX)":[212],"100":[213,221,224],"(Germany),":[214],"Financial":[216],"Times":[217],"Stock":[218,232],"Exchange":[219,233],"(FTSE)":[220],"(U.K.),":[222],"S&amp;P":[223],"(USA),":[225],"Nikkei":[226],"225":[227],"(Japan),":[228],"Indonesia":[231],"(IDX),":[234],"showed":[238],"that":[239],"model":[242],"optimized":[243],"provided":[251],"higher":[252],"compared":[254],"traditional":[256],"MV":[257],"models.":[258],"Furthermore,":[259],"proposed":[261],"effectively":[263],"mitigated":[264],"uncertainties,":[266],"making":[267],"it":[268],"valuable":[270],"tool":[271],"investors":[273],"aiming":[274],"optimize":[276],"under":[278,306],"conditions.":[280],"implications":[282],"this":[284],"relate":[286],"handling":[288],"returns,":[292],"dynamic":[293],"solving":[302],"uncertainty,":[307],"providing":[308],"near-optimal":[309],"solutions":[310],"relatively":[312],"lower":[313],"computational":[314]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":8}],"updated_date":"2026-03-14T06:41:57.775601","created_date":"2025-10-10T00:00:00"}
