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Deterministic goal programming approach for Islamic portfolio selection

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  • Noushin Bagheri

    (NEOMA Business School)

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.

Suggested Citation

  • Noushin Bagheri, 2021. "Deterministic goal programming approach for Islamic portfolio selection," Operational Research, Springer, vol. 21(3), pages 1447-1459, September.
    • Handle: RePEc:spr:operea:v:21:y:2021:i:3:d:10.1007_s12351-019-00517-w
    DOI: 10.1007/s12351-019-00517-w
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    References listed on IDEAS

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    7. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
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    Cited by:

    1. Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Tavakkoli, Hamid Raza & Rezgui, Hichem, 2024. "Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 37-57.

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