The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Ginanjar Dewandaru, Rumi Masih, Obiyathulla Bacha and A. Mansur M. Masih
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih

Emerging Markets Review, 2017, vol. 30, issue C, 66-95

Abstract: This study investigates both conventional and Islamic investors' problems as to whether the inclusion of Islamic and conventional asset classes may expand the frontier of their respective portfolios. Our sample covers the global U.S. portfolios and Malaysian portfolios with multiple asset classes, as well as the portfolios with a specific asset class in several regions. This study uses the recent mean variance spanning test in multiple regimes, which not only accounts for tail risk but also identifies the source of value added (tangency portfolio or global minimum variance).

Keywords: Islamic finance; Asset classes; Mean variance spanning test; Fat tails; Asset allocation (search for similar items in EconPapers)
JEL-codes: C22 C58 G11 G12 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Working Paper: The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95

DOI: 10.1016/j.ememar.2016.09.002

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