What is it about?
We develop 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.
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Why is it important?
The ethical stochastic objectives program approach is based on goal programming approach, a chance constrained approach and Shari’ah compliant framework. Such multiple goals were not considered in portfolio optimization problems in the Middle East Region.
Perspectives
The results show that, portfolios with higher proportion of ethical Islamic securities in the portfolio and with higher expected loss provide higher portfolio performance in terms of Sharpe measure. This signifies that inclusion of Islamic securities as socially ethical investments in the portfolio provides higher portfolio permance compared to traditional E-V frameworks.
Dr Ananth Rao
University of Dubai
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This page is a summary of: Ethical Stochastic Objectives Programming Approach for Portfolio Selection, International Conference on Advances in Business Management and Law (ICABML), December 2017, University of Dubai,
DOI: 10.30585/icabml-cp.v1i1.40.
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