Diversification is one of the major components of investment decision-making under risk or
uncertainty. However, paradoxically, as the 2007–2009 financial crisis revealed, the concept …

The objective of this paper is to investigate the notion of “doing well while doing good”
through examining the performance of Islamic, sustainability, and Islamic sustainability …

The mean–variance model is widely acknowledged as the foundation of portfolio allocation
because it provides a framework for analyzing the trade-off between risk and return for …

Robust optimization has become a widely implemented approach in investment
management for incorporating uncertainty into financial models. The first applications were …

Using data on asset pricing anomalies, I test the idea that the act of arbitrage turns “alphas”
into “betas”: Assets with high initial abnormal returns attract more arbitrage and covary …

This study investigates both conventional and Islamic investors' problems as to whether the
inclusion of Islamic and conventional asset classes may expand the frontier of their …

The authors develop a methodology that maps a given set of factor exposures to a group of
asset classes. When there are fewer factors than asset classes, which is the case in most …

Markowitz [1952] introduced a framework based on portfolio return and risk, often referred to
as the mean–variance frame work, for developing numerous contributions to portfolio …

In this article, the authors show under general conditions that the probability of risk parity
beating any other portfolio is more than 50%. They also prove the maximin properties of a …

Market conditions change over the course of the business cycle. When are investors
compensated to take risk? And what type of risk? This article proposes a practical regime …