SHARIA PORTFOLIO OPTIMIZATION WITH STOCHASTICPURIFICATION AND PORTFOLIO LEVEL SCREENING
Abstract Shariah portfolio optimization is an approach in managing investments that comply to Shariah principles. Previous research in the field of Shariah has incorporated screening and purification processes into Shariah portfolio optimization model. The screening process involves probabilistic...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/79874 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Abstract Shariah portfolio optimization is an approach in managing investments that
comply to Shariah principles. Previous research in the field of Shariah has incorporated
screening and purification processes into Shariah portfolio optimization
model. The screening process involves probabilistic constraints, with financial
ratios as random variables. In this thesis, the characteristics of financial ratios
are approximated using both Normal and Beta distributions. The transformation
of probabilistic constraints is solved through the chance-constraint approach and
convolution. Additionally, an analysis is conducted on the influence of threshold
values in the screening process. Next, simulations are carried out using the
biogeography-based optimization method to optimize and control the portfolio to
comply with Shariah principles. Simulation results indicate that the threshold values
in screening and the distribution of financial ratios has an impact on the performance
of Shariah portfolios |
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