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Deterministic goal programming approach for Islamic portfolio selection

Noushin Bagheri ()
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Noushin Bagheri: NEOMA Business School

Operational Research, 2021, vol. 21, issue 3, No 3, 1447-1459

Abstract: Abstract To our knowledge, this paper presents the first attempt to construct a Shari’ah compliant multiple goals program to address the portfolio selection problem from a conventional portfolio viewpoint. We have applied our model, based on deterministic values, to monthly equity data from 60 financial institutions in Gulf Cooperation Council economies, from 2006 to 2016. Our results show that investors gained higher returns from our Shari’ah compliant portfolios than from conventional portfolios. Thus, Shari’ah investments can benefit not only Islamic investors but also conventional and ethical investors, confirming our belief that conventional investors would benefit from considering ethical investments in their investment strategies.

Keywords: Islamic finance; Shari’ah investment; Shari’ah-compliant portfolio; Deterministic values; Multiple goals; Portfolio selection; Goal programming (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s12351-019-00517-w

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