符合伊斯兰教法的多期模糊投资组合优化定量框架:道德投资的可持续方法

IF 2.5 Q2 BUSINESS, FINANCE
Moad El Kharrim
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引用次数: 0

摘要

目的 本文旨在提出一种符合伊斯兰教法的多期模糊投资组合优化模型,该模型通过净化过程说明符合伊斯兰教法,并纳入各种伊斯兰教法约束,包括可持续性约束。该模型旨在确保道德一致性和稳健的投资组合管理,同时驾驭现代金融复杂性,并促进负责任和可持续的投资实践。设计/方法/途径该方法涉及一种动态编程方法,以解决拟议的程序,并假设资产回报为梯形模糊变量。通过这种方法,可以分别用模糊收益的可能平均值和半方差来量化投资组合的收益和风险。基于真实股票市场数据的数值研究检验了所提算法的效率。 研究结果该研究展示了该模型在金融不确定性条件下管理符合伊斯兰教法的投资组合的有效性,并支持在投资决策中纳入道德和可持续性约束的重要性。研究的局限性/意义虽然本文为符合伊斯兰教法的投资组合优化提供了坚实的基础,但也承认该模型的复杂性和计算需求。未来的研究可以在不损害其道德和符合伊斯兰教法原则的前提下探索简化模型。将净化过程和可持续性约束纳入模糊投资组合优化模型是对该领域的独特贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Quantitative framework for shariah-compliant multi-period fuzzy portfolio optimization: a sustainable approach to ethical investing

Purpose

This paper aims to propose a Shariah-compliant multi-period fuzzy portfolio optimization model that accounts for Shariah compliance through purification processes and incorporates various Shariah constraints, including sustainability constraints. This model aims to ensure both ethical alignment and robust portfolio management while navigating modern financial complexities and fostering responsible and sustainable investment practices.

Design/methodology/approach

The methodology involves a dynamic programming method to solve the proposed program, with returns of the assets assumed to be trapezoidal fuzzy variables. This approach allows for the quantification of portfolio return and risk by the possibilistic mean and semivariance of the fuzzy returns, respectively. A numerical study based on real stock market data tests the efficiency of the proposed algorithm.

Findings

The research showcases the model’s effectiveness in managing Shariah-compliant portfolios under financial uncertainties and supports the importance of incorporating ethical and sustainability constraints in investment decisions. It highlights the capability of the proposed model to offer a structured approach to ethical investing within the Islamic finance framework.

Research limitations/implications

While the paper provides a solid foundation for Shariah-compliant portfolio optimization, it acknowledges the complexity and computational demands of the model. Future research could explore simplifying the model without compromising its ethical and Shariah-compliant principles.

Originality/value

This work introduces a novel integration of Shariah compliance with fuzzy portfolio optimization techniques, addressing the need for dynamic, ethical investment strategies in Islamic finance. The incorporation of purification processes and sustainability constraints into a fuzzy portfolio optimization model represents a unique contribution to the field.

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来源期刊
CiteScore
4.80
自引率
22.70%
发文量
78
期刊介绍: The journal provides a dynamic forum for the advancement of accounting and business knowledge based on Shari’ah and Islamic activities that have an impact on the welfare of society. JIABR publishes articles on the interplay between Islamic business ethics, accounting, auditing and governance, in promoting accountability, socio-economic justice (adl) and everlasting success (al-falah). It seeks to inform, among others, current theoretical and empirical research and practice in Islamic accounting, auditing and corporate governance, management of Islamic organizations, accounting regulation and policy for Islamic institutions, Shari’ah auditing and corporate governance, financial and non-financial performance measurement and disclosure in Islamic institutions and organizations. All styles of research, theoretical and empirical, case studies, practice-based papers and research notes that are well written and falling within the journal''s scope, are generally welcomed by the journal. Scope/Coverage Development of accounting, auditing and corporate governance concepts based on Shari’ah Socio-political influence on accounting and auditing regulation and policy making for Islamic financial institutions and organizations Historical perspectives on Islamic accounting, auditing and financial management Critical analysis on issues and challenges on accounting disclosure and measurement, Shari’ah audit and corporate governance Controls and risks in Islamic organizations Financial and non-financial performance measurement and disclosure.
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