A new class of Shariah-compliant portfolio optimization model: diversification analysis

A new class of Shariah-compliant portfolio optimization model: diversification analysis

This study proposes a novel Shariah-compliant portfolio optimization model tested on the daily historical return of 154 Shariah-compliant securities reported by the Shariah Advisory Council of Securities Commission Malaysia from 2011 to 2020. The mathematical model employs an annual rebalancing stra...

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Bibliographic Details
Main Authors: Doong Toong Lim, Khang Wen Goh, Lam Hong Lee
Format: Article
Language:English
Published: AIMS Press 2023-06-01
Series:AIMS Mathematics
Subjects:
portfolio optimization
shariah-compliant portfolio
islamic finance
diversification
causality
economic diversification
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20231066?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20231066?viewType=HTML

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