Comparison of portfolio selection and performance: shari’ah-compliant and socially responsible investment portfolios / Mehmet Asutay, Nur Dhani Hendranastiti
Mehmet Asutay;
Nur Dhani Hendranastiti
(Durham University, 2015)
|
This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selectionand performance compared to Socially Responsible Investment (SRI) portfolio. Each portfolioconstructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfoliooptimization is employed with some financial ratios added as constraints for the Shari’ah portfolio.Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio,Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic variablesare assessed using ordinary least square to examine whether they influence the portfolios’ expectedreturns or not. The result finds that Shari’ah portfolio has a better performance than SRI from year2008 to 2010 shown by higher value of the measurement tools. However, from 2011 to 2013, SRI portfoliohas better performance than Shari’ah portfolio. |
No. Panggil : | |
Entri utama-Nama orang : | |
Entri tambahan-Nama orang : | |
Subjek : | |
Penerbitan : | [Place of publication not identified]: Durham University, 2015 |
Sumber Pengatalogan : | LibUI eng rda |
ISSN : | 23563818 |
Majalah/Jurnal : | Indonesian Capital Market Review |
Volume : | Vol 7 No 1 January 2015 |
Tipe Konten : | text |
Tipe Media : | computer |
Tipe Carrier : | online resource |
Akses Elektronik : | http://journal.ui.ac.id/index.php/icmr/article/view/4358 |
Institusi Pemilik : | Universitas Indonesia |
Lokasi : |
No. Panggil | No. Barkod | Ketersediaan |
---|---|---|
TERSEDIA |
Ulasan: |
Tidak ada ulasan pada koleksi ini: 20443733 |