The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

Strategic projects are large scale, complex, and require significant investments and
resources. These projects aim at gaining long-term social and economic benefits. Therefore …

This paper is motivated by the heightened interest in investing in Islamic equities. The paper
is the first attempt at analysing the risk-return characteristics of Islamic indices at different …

A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and
Analytics provides an up-to-date understanding of the analytic investment process for …

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived
from the three prominent styles, namely, momentum, value, and quality investing. We use …

In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman
models are constructed with fuzzy views and fuzzy random views respectively. In the …

In this paper, we explore the effect of sampling error in the asset covariance matrix when
constructing portfolios using mean–variance optimization. We show that as the covariance …

The practical issues that arise due to the interaction between three principal players in any
quantitative strategy—namely, the alpha model, risk model, and constraints—are collectively …

Multi-factor risk models have been used in portfolio selection since Cohen and Pogue (J Bus
40: 166–193, 1967), Rosenberg and McKibben (J Financ Quant Anal 8: 317–333, 1973) …

On the basis of simulated backtests, many portfolios including so-called smart beta and
other factor products often boast impressive track records. However, given the additional …