Consider an agent who holds a stock, but is allowed to buy and hold some quantity of at-the-money put options on the stock. Such an agent must decide the optimal use of financial derivatives under trade restrictions. This paper uses simulation to compare the optimal quantity when the agent...

Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward problem faced by a portfolio manager whose portfolio needs...

Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more efficient...

Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a universe of US stocks for the period 2003–2010.

We prove a formula for the computation of optimal financial investments in an expected utility framework with arbitrary (not necessarily concave) utility functions. This extends classical results on optimal financial investments for strictly concave utility functions and is of importance...

Increasingly Islamic financial institutions are being pressured by critics to offer profit and loss sharing (PLS) financing for the purpose of entrepreneurial development. We believe the growth of PLS can be incentivized by increasing the participation of Islamic asset managers and mutual funds...

The purpose of this paper is to analyze the possible portfolio diversification opportunities between Asian Islamic Market and other regions‟ Islamic Markets; namely USA, Europe and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of...

The economic process that Euro Zone countries have gone through created contradictory claims about whether those particular financial markets have converged, which has implications for the portfolio diversification issue for the investors and policy makers alike. Thus, this paper aims to examine...

This paper attempts to analyse the extent of financial integration of two developed (the U.S. and Japan) and two emerging Islamic stock markets (China and India) with the Malaysian Islamic stock market in order for the Malaysian financial traders to make decision about their portfolio...

Previous studies have investigated the interdependence of Malaysian stock market with its major trading partners without taking into account the time-varying correlations and different investment horizons of the investors. The main objective of this paper is to study the extent to which the...