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|Title:||Ethical Stochastic Objectives Programming Approach for Portfolio Selection||Authors:||Prof. Ananth Rao
Ben Abdelaziz, Fouad
|Issue Date:||2017||Journal:||International Conference on Advances in Business, Management and Law (ICABML) 2017||Conference:||University of Dubai (UD) -International Conference on Advances in Business Management and Law- 2017||Abstract:||The paper develops an ethical multiple stochastic objectives approach to address the ethical portfolio selection problem in the stochastic environment under the Shari’ah compliant framework. Two random objectives considered in this paper which are maximizing portfolio return and maximizing social welfare of portfolio. The risk of portfolio is measured by covariance matrix of total return. The ethical stochastic objectives program approach is based on goal programming approach, a chance constrained approach and Shari’ah compliant framework. The model is applied on 60 stocks including conventional and Islamic securities in GCC. The results show that, portfolios with higher proportion of ethical Islamic securities in the portfolio and with higher expected loss the higher is the portfolio performance in terms of Sharpe measure.||URI:||http://hdl.handle.net/20.500.12216/232||DOI:||10.30585/icabml-cp.v1i1.40|
|Appears in Collections:||Conference Papers|
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