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Mehmet Asutay
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This study examines the effect of Islamic screening criteria on Shari’ah-compliant portfolio selection
and performance compared to Socially Responsible Investment (SRI) portfolio. Each portfolio
constructed from 15 stocks based on FTSE 100 using data from year 1997. Mean-variance portfolio
optimization is employed with some financial ratios added as constraints for the Shari’ah portfolio.
Annual expected return of each portfolio from 2008 to 2013 is used to calculate Sharpe’s ratio,
Treynor ratio and Jensen’s alpha as the performance measurement tools. Macroeconomic ...
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Durham University, 2015
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