This paper investigates the investment performance of Malaysian Islamic equity funds and a matching sample of conventional equity funds relative to their market benchmark. An integrated model is used to simultaneously capture the market timing and selectivity skills of fund managers. Our...

Portfolio risk management plays an important role in successful investments. Portfolio standard deviation, value-at-risk, expected shortfall, and maximum absolute deviation are widely used portfolio risk measures. However, the existing portfolio risk measures are vulnerable to larger skewness...