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Erschienen in:
2011 | OriginalPaper | Buchkapitel
New Model for Shariah-Compliant Portfolio Optimization under Fuzzy Environment
verfasst von : Younes Elahi, Mohd Ismail Abd Aziz
Erschienen in: Informatics Engineering and Information Science
Verlag: Springer Berlin Heidelberg
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In this paper, a new fuzzy model is presented to improve methods for Shariah-compliant portfolio optimization, and provides an overview of faithcompliant portfolio optimization. The spread of fuzzy variable is adopted as criteria in practical risk management in Islamic finance. First, the effect of shariah-compliant strategy to portfolio optimization is covered in the literature review. After analyzing the literature, it was identified that the previous models lack the fuzzy environment so that they were unable to deal with uncertainty. Consequently, a new model is proposed to apply the fuzzy environment to Shariah-compliance portfolio optimization. In this research activity, an E-S model by the linear combination of the risk and reward for fuzzy shariah-compliant is proposed. Finally, some future works are presented along with a conclusion.