scholarly journals Optimal Hajj Funds Management by Islamic Bank

ETIKONOMI ◽  
2019 ◽  
Vol 18 (2) ◽  
pp. 303-314
Author(s):  
Ariani Dian Pratiwi ◽  
Idqan Fahmi ◽  
Rifki Ismal
Keyword(s):  
Optimization Theory ◽  
Optimal Portfolio ◽  
Expected Returns ◽  
Islamic Banks ◽  
Islamic Bank ◽  
Bank Deposits ◽  
Optimal Portfolio Selection ◽  
Funds Management ◽  
Mean Variance Portfolio ◽  
Mean Variance

The purpose of this paper is to find the optimal portfolio of Hajj fund management by the Islamic banks in Indonesia. BPKH, as an authority, can place the Hajj fund on Islamic bank deposits. However, Islamic banks limited the expected returns and risks set by BPKH so that the appropriate strategy is required to establish the optimal of portfolio. Islamic banks face a trade-off because of the increased level of risk constrains the intention to get higher returns. This study uses a mean-variance portfolio optimization theory to construct such an optimal portfolio. Finally, this study recommends Murabaha financing and SBIS to Islamic banks as the optimal portfolio selection. The combination of an efficient portfolio that has formed cannot be fully employed because the expectation limits them. However, Islamic banks can still select the optimal portfolio combination according to their risk preferences.JEL Classification: G11, G18

scholarly journals Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

2014 ◽  
Vol 2014 ◽  
pp. 1-14
Author(s):  
Hui-qiang Ma
Keyword(s):  
Portfolio Selection ◽  
Continuous Time ◽  
Stock Price ◽  
Efficient Frontier ◽  
Optimal Portfolio ◽  
Portfolio Strategy ◽  
Cev Process ◽  
The Mean ◽  
Mean Variance Portfolio ◽  
Mean Variance

We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

Robust Portfolio Optimization with Transaction Cost for Risky and Risk-Free Assets Coexisting

2014 ◽  
Vol 543-547 ◽  
pp. 4339-4345
Author(s):  
Jiang Ping Zhu ◽  
Xi Kun Liang
Keyword(s):  
Transaction Cost ◽  
Efficient Frontier ◽  
Expected Returns ◽  
Worst Case ◽  
Robust Portfolio Optimization ◽  
Proposed Model ◽  
Robust Portfolio ◽  
Mean Variance Portfolio ◽  
Portfolio Selection Model ◽  
Mean Variance

A robust mean-variance portfolio selection model with transaction cost is presented for the case that both risky and risk-free assets exist in the market and expected returns of assets are uncertain and belong to a convex polyhedron. The model helps investors to identify such portfolios that expectations of investors are ensured even if the worst case in the expected returns of assets occurs. Analytical expression of the optimal portfolio determined by the proposed model is derived based on the Lagrange method for constrained optimization. Empirical analysis with three real stocks is performed to give the efficient frontier of portfolios.

scholarly journals Perilaku Konsumsi Upaya Meningkatkan Potensi Produk Deposito di Bank Syariah

Intizar ◽  
2016 ◽  
Vol 22 (2) ◽  
pp. 333
Author(s):  
Tri Mulanto
Keyword(s):  
Literature Review ◽  
Product Development ◽  
Market Share ◽  
Private Consumption ◽  
Third Party ◽  
Islamic Banks ◽  
Islamic Bank ◽  
Bank Deposits ◽  
Bank Financing ◽  
Product Accumulation

Perbankan syari’ah saat ini telah memiliki payung hukum yang kuat dengan hadirnya undang-undang nomor 21 tahun 2008 tentang perbankan syari’ah. Hal ini sangat berpengaruh terhadap eksistensi dari perbankan syari’ah yang semakin diminati oleh banyak kalangan.Bank syari’ah membutuhkan dana dalam menjalankan produk pembiayaannya. Deposito merupakan salah satu produk penghimpunan di bank syariah. Deposito di bank syariah terus mengalami pertumbuhan. Walaupun demikian bank syariah tetap harus meningkatkan produk deposito, untuk mencapai market share 5 persen. Untuk meningkatkan volume deposito bank syariah perlu memahami bentuk perilaku konsumsi masyarakat. Dari data yang ada kontribusi dana pihak ketiga bank syariah diberikan oleh produk deposito sebesar 71,15 persen.Penulisan ini menggunakan jenis deskriptif kualitatif, Batasan dalam tulisan ini difokuskan pada produk deposito di bank syari’ah perilaku konsumen.Tulisan ini menggunakan studi pustaka kajian dari berbagai sumber. Hasil dari tulisan ini bahwa deposito di bank syariah terus mengalami perkembangan, pada tahun 2015 pertumbuhan deposito di bank syariah mencapai 4,12 persen. Perilaku konsumsi memiliki banyak faktor dan bisa memberi pengaruh terhadap peningkatan produk deposito di bank syariah. Sehingga bank syariah perlu memahami perilaku konsumsi masyarakat dalam upaya meningkatkan potensi pengembangan produk deposito di bank syariah.potensi pengembangan produk pembiayaan mudharabah di bank syari’ah masih sangat besar.Potensi pengembangan produk deposito masih sangat besar dan sangat luas.Bank of Shariah now has a solid legal with the presence of the law number 21 in 2008 about Bank of Shariah.  This adversely affects the existence of the Shari'ah Bank that increasingly catches interest many people. Bank of Shari'ah requires funds in running financing products. Deposits are ones’ product accumulation in Islamic banks. Deposits in Islamic banks continued to grow. Nevertheless, Islamic banks still have to increase deposit products, to achieve a 5 percent market share. To increase the volume of deposits of Islamic banks need to understand the behaviors of consumption. From the available data the contribution of third party funds provided by the Islamic banks deposits amounted to 71.15 persen. This study uses a descriptive qualitative limitation. This paper is focused on products in Consumers Islamic bank deposits. This study uses literature review of various sources. The results of this paper that the deposits in Islamic banks continued to experienced growth, in 2015 the growth of deposits in Islamic banks reaches 4.12 percent. Consumer behavior has many factors and can give effect to an increase in deposit products in Islamic banks. So that Islamic banks need to understand the behavior of private consumption in order to increase the potential for product development of deposits in Bank of Shariah. The advantage of product development in Islamic bank financing is still enormous. The advantage of deposit product development is still very large and very spacious.

scholarly journals Inclusão de Custos de Transação Não-Lineares na Otimização Média-Variância

2005 ◽  
Vol 3 (2) ◽  
pp. 195
Author(s):  
José Euclides De Melo Ferraz ◽  
Christian Johannes Zimmer
Keyword(s):  
Approximation Algorithm ◽  
Transaction Costs ◽  
Portfolio Optimization ◽  
Financial Market ◽  
Optimal Portfolio ◽  
Market Impact ◽  
Market Data ◽  
Bid Ask Spread ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this article we propose a new way to include transaction costs into a mean-variance portfolio optimization. We consider brokerage fees, bid/ask spread and the market impact of the trade. A pragmatic algorithm is proposed, which approximates the optimal portfolio, and we can show that is converges in the absence of restrictions. Using Brazilian financial market data we compare our approximation algorithm with the results of a non-linear optimizer.

Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case

2021 ◽  
Author(s):  
Raymond Kan ◽  
Xiaolu Wang ◽  
Guofu Zhou
Keyword(s):  
Portfolio Choice ◽  
Exact Distribution ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Estimation Risk ◽  
Choice Problem ◽  
Out Of Sample ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Explicit Expressions

We propose an optimal combining strategy to mitigate estimation risk for the popular mean-variance portfolio choice problem in the case without a risk-free asset. We find that our strategy performs well in general, and it can be applied to known estimated rules and the resulting new rules outperform the original ones. We further obtain the exact distribution of the out-of-sample returns and explicit expressions of the expected out-of-sample utilities of the combining strategy, providing not only a fast and accurate way of evaluating the performance, but also analytical insights into the portfolio construction. This paper was accepted by Tyler Shumway, finance.

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