SHARIA PORTFOLIO OPTIMIZATION WITH STOCHASTICPURIFICATION AND PORTFOLIO LEVEL SCREENING

• Main Author: Dewy Isnaini, Kurnia
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/79874
• Institution: Institut Teknologi Bandung

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