IDEAS home Printed from https://ideas.repec.org/a/ids/ijores/v41y2021i4p447-476.html
   My bibliography  Save this article

Fuzzy expectation-spread-skewness model for Shariah-compliant portfolio optimisation

Author

Listed:
  • Imen Ben Abdelwahed
  • Faouzi Trabelsi

Abstract

It is well known that fuzzy portfolios are very useful for investors who are looking for a path to manage risk when dealing with their long-term investment portfolio. In this paper, we propose a new framework to portfolio selection problem based on fuzzy theory in the context of Islamic finance. In order to measure how much an investor satisfies with his profit, skewness is adopted in addition to the first two moments of the distribution. We formulate a new fuzzy (Shariah-compliant) portfolio optimisation problem, referred as 'fuzzy expectation-spread-skewness (𝔽𝔼 - Sp - S) model'. We discuss the existence of the optimal solution. Besides, we provide numerical methods to approximate the solution, following in parallel probabilistic and analytical approaches. Some examples of application are also studied. Finally, we compare the followed numerical approaches and we state some financial interpretations.

Suggested Citation

  • Imen Ben Abdelwahed & Faouzi Trabelsi, 2021. "Fuzzy expectation-spread-skewness model for Shariah-compliant portfolio optimisation," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 41(4), pages 447-476.
    • Handle: RePEc:ids:ijores:v:41:y:2021:i:4:p:447-476
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=117069
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijores:v:41:y:2021:i:4:p:447-476. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=170 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.