INTEGRATING ZAKAT AND PURIFICATION IN A MODIFIED BLACK–LITTERMAN MODEL FOR SHARIAH-COMPLIANT STOCK PORTFOLIOS
Penulis/Author
RETNO SUBEKTI (1); Prof. Dr. Abdurakhman, S.Si., M.Si. (2); Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (3); H.M. Hasim (4)
Tanggal/Date
29 2022
Kata Kunci/Keyword
Abstrak/Abstract
Many articles demonstrate the advantages of applying Shariah principles in economic
and financial activities, which motivates model development for Shariah investment. The
development of the capital asset pricing model (CAPM) and mean-variance (MV) for
Shariah portfolios shows various efforts within a Shariah framework. But the MV model
has diversification weaknesses, and the Black–Litterman (BL) model solves this problem.
According to Islamic principles, the CAPM’s use in the BL model is problematic due to
the risk-free rate. This study aims to introduce a modified BL model adapted to Islamic
principles. We propose a modified BL model with a Shariah-compliant asset pricing
model (SCAPM) that considers the zakat obligation and purification rate to develop the
model with Islamic principles. The proposed model was implemented in the Indonesian
stock market. A portfolio’s Sharpe ratio using the BL-SCAPM outperforms BL-CAPM.
This finding supports the idea that the modified BL model can be applied as a new
alternative for a Sharia portfolio model.
Rumpun Ilmu
Statistik
Bahasa Asli/Original Language
English
Level
Internasional
Status
Dokumen Karya
No
Judul
Tipe Dokumen
Aksi
1
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