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1-4 of 4
Keywords: Portfolio optimization
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Journal Articles
Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic
Available to Purchase
International Journal of Islamic and Middle Eastern Finance and Management (2022) 15 (6): 1150–1164.
Published: 18 March 2022
... 31 05 2021 29 11 2021 18 02 2022 19 02 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only Portfolio optimization Black–Litterman model Shariah investment Islamic finance COVID-19 Modern portfolio theory (MPT...
Journal Articles
The role of real estate and gold as inflation hedges: the Islamic influence
Available to Purchase
International Journal of Islamic and Middle Eastern Finance and Management (2021) 14 (2): 391–408.
Published: 01 December 2020
... Emerald Publishing Limited Licensed re-use rights only Islamic finance Portfolio optimization Interest-Riba Real Estate Market Gold and Silver Inflation and Indexation G11 G18 According to modern portfolio theory, pioneered by Markowitz (1952) , risk-averse investors choose...
Journal Articles
Identifying the optimal level of gold as a reserve asset using Black–Litterman model: The case for Malaysia, Turkey, KSA and Pakistan
Available to Purchase
International Journal of Islamic and Middle Eastern Finance and Management (2018) 11 (3): 334–356.
Published: 02 March 2018
... by Meucci’s model in the mid-2000s. Drobetz (2001) provides further description of the Black–Litterman model including a good discussion of how to interpret the confidence in the estimates including a diagram. Financial crisis Portfolio optimization Gold Central bank reserves The GFC...
Journal Articles
Portfolio optimization using the generalized reduced gradient nonlinear algorithm: An application to Amman Stock Exchange
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International Journal of Islamic and Middle Eastern Finance and Management (2016) 9 (4): 570–582.
Published: 14 November 2016
.../approach This study applies the portfolio optimization concept of Markowitz (1952) and the GRG nonlinear algorithm to a portfolio consisting of the 30 leading stocks from the three different sectors in Amman Stock Exchange over the period from 2009 to 2013. Findings The selected portfolios achieve...
