Le filtrage islamique réduit-il les gains de diversification ? Étude sur le Dow Jones Islamic Titans 100
| Dublin Core | PKP Metadata Items | Metadata for this Document | |
| 1. | Title | Title of document | Le filtrage islamique réduit-il les gains de diversification ? Étude sur le Dow Jones Islamic Titans 100 |
| 2. | Creator | Author's name, affiliation, country | Ali KAFOU; Ibn Zohr University (UIZ) National School of Trade & Management (ENCG); Morocco |
| 3. | Subject | Discipline(s) | |
| 3. | Subject | Keyword(s) | Diversification; Sharia-based screening; Diversification measures; Risk |
| 4. | Description | Abstract | This paper aims to study the impact of screening on the diversification of Islamic equity investment. Using data of listed companies in the Dow Jones Islamic Titans 100 index, this study is conducted based on three diversification measures, namely the diversification index, diversification ratio and volatility reduction. To implement these measures, hypothetical portfolios are built using a simulator. For each portfolio, components are selected randomly, while their weights are calculated by solving an optimization problem. The results show that the required securities’ number for a reasonable diversification varies depending on the considered measure and the generated portfolio. In sum, even when considering the three diversification measures together, the Islamic investment universe allows reasonable diversification. Consequently, Islamic screening seems to have no negative impact on diversification. |
| 5. | Publisher | Organizing agency, location | |
| 6. | Contributor | Sponsor(s) | |
| 7. | Date | (YYYY-MM-DD) | 13-03-2021 |
| 8. | Type | Status & genre | Peer-reviewed Article |
| 8. | Type | Type | |
| 9. | Format | File format | PDF (Français) |
| 10. | Identifier | Uniform Resource Identifier | https://revues.imist.ma/index.php/IREF/article/view/25537 |
| 11. | Source | Title; vol., no. (year) | The International Revue of Entrepreneurial Finance; Vol 3, No 2 (2020) |
| 12. | Language | English=en | fr |
| 13. | Relation | Supp. Files | |
| 14. | Coverage | Geo-spatial location, chronological period, research sample (gender, age, etc.) | |
| 15. | Rights | Copyright and permissions |
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