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Relevant bibliographies by topics / Islamische Bank Portfolio Selection

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Academic literature on the topic 'Islamische Bank Portfolio Selection'

Author: Grafiati

Published: 4 June 2021

Last updated: 13 February 2022

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Journal articles on the topic "Islamische Bank Portfolio Selection"

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Perera, Ryle S. "Provisions for bank deposit withdrawals and portfolio selection." International Journal of Financial Engineering 07, no. 01 (2020): 1950037. http://dx.doi.org/10.1142/s2424786319500373.

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The primary economic function of a bank is to redirect funds from savers to borrowers in an efficient manner, while increasing the value of the bank’s asset holdings in absolute terms. Within the regulatory framework of the Basel III accord, banks are required to maintain minimum liquidity to guard against withdrawals/liquidity risks. In this paper, we analyze a continuous-time mean-variance portfolio selection for a bank with stochastic withdrawal provisioning by relating the reserves as a proxy for the assets held by the bank. We then formulate an optimal investment portfolio selection for a banker by constructing a special Riccati equation as a continuous solution to the Hamilton–Jacobi–Bellman (HJB) equation under mean-variance paradigm. We obtain an explicit closed form solution for the optimal investment portfolio as well as the efficient frontier. The aforementioned modeling enables us to formulate a stochastic optimal control problem related to the minimization of the reserve, depository, and intrinsic risk that are associated with the reserve process.

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Zhao, Lin. "Portfolio Selection with Jumps under Regime Switching." International Journal of Stochastic Analysis 2010 (July 28, 2010): 1–22. http://dx.doi.org/10.1155/2010/697257.

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We investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection is proposed and analyzed for a market consisting of one bank account and multiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. A Markov chain modulated diffusion formulation is employed to model the problem.

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Pratiwi, Ariani Dian, Idqan Fahmi, and Rifki Ismal. "Optimal Hajj Funds Management by Islamic Bank." ETIKONOMI 18, no. 2 (2019): 303–14. http://dx.doi.org/10.15408/etk.v18i2.10938.

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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

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Tansakul, Nantasak, and Pisal Yenradee. "Fuzzy Improvement-Project Portfolio Selection Considering Financial Performance and Customer Satisfaction." International Journal of Knowledge and Systems Science 11, no. 2 (2020): 41–70. http://dx.doi.org/10.4018/ijkss.2020040103.

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This article develops a suitable and practical method for improvement-project portfolio selection under uncertainty, based on the requirements of a bank in Thailand. A significant contribution of this article is that the proposed method can determine an optimal project portfolio, to satisfy the customer/employee satisfaction targets and an investment budget constraint. This allows users to estimate parameters as triangular fuzzy numbers under pessimistic, most likely, and optimistic situations. Four mathematical models are proposed to maximize the defuzzified values of fuzzy NPV and fuzzy BCR, and to maximize the possibility that the project portfolio is economically justified under fuzzy situations of NPV and BCR. Results reveal that maximizing the defuzzified value of fuzzy NPV offers the most favorable result since it maximizes the current wealth of the bank. Additionally, the possibility that the entire project portfolio is economically justified under all fuzzy situations is relatively high for all numerical cases.

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MENG, QIANG, and ANANDA WEERASINGHE. "OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 09, no. 04 (2006): 619–41. http://dx.doi.org/10.1142/s021902490600369x.

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We consider an investor who has available a bank account (risk free asset) and a stock (risky asset). It is assumed that the interest rate for the risk free asset is zero and the stock price is modeled by a diffusion process. The wealth can be transferred between the two assets under a proportional transaction cost. Investor is allowed to obtain loans from the bank and also to short-sell the risky asset when necessary. The optimization problem addressed here is to maximize the probability of reaching a financial goal a before bankruptcy and to obtain an optimal portfolio selection policy. Our optimal policy is a combination of local-time processes and jumps. In the interesting case, it is determined by a non-linear switching curve on the state space. This work is a generalization of Weerasinghe [20], where this switching boundary is a vertical line segment.

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Amaroh, Siti, and Chanif Nasichah. "Risk-Return Analysis on Optimum Portfolio Selection of Islamic Stocks." Equilibrium: Jurnal Ekonomi Syariah 9, no. 1 (2021): 65. http://dx.doi.org/10.21043/equilibrium.v9i1.9433.

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<p><em>This study aims to determine the optimum portfolio category and analyze the risk-return on a formed portfolio. Data was taken from eighteen listed companies indexed by Jakarta Islamic Index during 2015-2018. Stock returns are calculated based on the closing price at the end of each month in the period. Sharia Certificate of Bank Indonesia is a proxy of risk-free return, while the market return is measured by the value of the Jakarta Islamic Index. Stocks are sorted by the value of excess return to beta (ERB) from highest to lowest, and to obtain optimal stock portfolio candidates, and the ERB value must be compared with the cut-off rate value. Seven issuers qualify for forming the optimum portfolio of shares. The results show that the optimum portfolio return is greater than the expected return and the expected risk-free return. When compared between individual stock returns and portfolio stock returns, some individual stocks provide higher returns than portfolio returns. However, the risk of individual shares was also higher than the risk of the portfolio. This finding proves that risk can be reduced optimally in Islamic stocks selection by forming an optimum portfolio.</em></p>

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COURAKIS, ANTHONY S. "IN SEARCH OF AN EXPLANATION OF COMMERCIAL BANK SHORT-RUN PORTFOLIO SELECTION*." Oxford Bulletin of Economics and Statistics 42, no. 4 (2009): 305–35. http://dx.doi.org/10.1111/j.1468-0084.1980.mp42004002.x.

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Rutkauskas, Aleksandras Vytautas, and Jelena Stankevičienė. "FORMATION OF AN INVESTMENT PORTFOLIO ADEQUATE FOR STOCHASTICITY OF PROFIT POSSIBILITIES." Journal of Business Economics and Management 4, no. 1 (2003): 3–12. http://dx.doi.org/10.3846/16111699.2003.9636033.

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The paper deals with the conception of integrated bank assets and liabilities portfolio adequate to stochastic nature of assets profitability and liabilities expenditures. Two interconnected situations are considered. Firstly, the principles of construction of an investment portfolio, adequate to stochastic nature of an investment yield arc considered. Further, the idea of consideration and optimal selection of integrated assets and liabilities portfolio is considered. These problems are solved on the basis of the authors’ idea of investment portfolio adequate for stochastic nature of investment portfolio and the numerical solution of such problems, which is briefly presented.

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Pennathur, Anita, and Sharmila Vishwasrao. "The financial crisis and bank–client relationships: Foreign ownership, transparency, and portfolio selection." Journal of Banking & Finance 42 (May 2014): 232–46. http://dx.doi.org/10.1016/j.jbankfin.2013.11.026.

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10

Paetzmann, Karsten. "Bad assets options and bank resolution in Europe." Journal of Risk Finance 16, no. 5 (2015): 486–97. http://dx.doi.org/10.1108/jrf-06-2015-0058.

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Purpose – This paper analyzes the new EU Bank Recovery and Resolution Directive (BRRD) to determine the level of guidance on instruments to wind-down bad asset portfolios of asset management vehicles. In the absence of such detailed guidance stipulated by the BRRD, the aim is to provide certain practical guidance to future resolution planning and execution. Design/methodology/approach – This paper draws upon experience from portfolio reduction strategies applied at European bad banks in the aftermath of the 2008 financial crisis. For illustration purposes, the paper use case study data from a bad bank located in the eurozone. Findings – For the new European Commission, implementation and enforcement of the Banking Union within the eurozone is currently a key priority. Present efforts are mainly directed towards minimum technical standards. However, the fundamental question of how to orderly unwind a bad assets portfolio without the usage of public funds remains partly addressed only. While a uniform approach to any bad asset does not seem to be applicable, certain lessons learned from previous financial crises may contribute to a selection of reduction strategies. Research limitations/implications – This paper draws upon experience from portfolio reduction strategies applied at European bad banks in the aftermath of the 2008 financial crisis. It includes case study data from the wind-down of a eurozone bad bank detailing the asset reduction strategies achieved so far. Such per asset class wind-down patterns have not been published and commented on in academia so far.

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Dissertations / Theses on the topic "Islamische Bank Portfolio Selection"

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Marzban, Shehab. "Strategies, paradigms and systems for Shariah-compliant portfolio management /." Aachen : Shaker, 2009. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=018642201&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Marzban, Shehab. "Strategies, paradigms and systems for Shariah-compliant portfolio management." Aachen Shaker, 2008. http://d-nb.info/994392869/04.

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Kühn, Jochen. "Optimal risk return trade-offs of commercial banks and the suitability of profitability measures for loan portfolios with 1 table." [S.l.] : [s.n.], 2006. http://dx.doi.org/10.1007/3-540-34821-2.

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Heidemann, Jeffrey. "Portfolioaspekte in der dezentralen Kreditvergabeentscheidung /." Berlin : Mbv, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016563548&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Reckers, Thomas. "Die Portefeuilleoptimierung im Eigenhandel von Kreditinstituten : eine Analyse ausgewählter Organisationsformen unter Berücksichtigung value-at-risk-basierter Limite /." Münster : Verl.-Haus Monsenstein und Vannerdat, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014986074&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Lottenbach, Walter. "Der Anlageentscheidungsprozess im internationalen Portfolio Management : die Theorie und die Praxis der Schweizer Banken /." [St.Gallen] : [s.n.], 1995. http://aleph.unisg.ch/hsgscan/hm00148267.pdf.

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Miehle, Christian. "Optimale Selektionsprozesse für true sale collateralised loan obligations." Hamburg Kovac, 2007. http://d-nb.info/988037858/04.

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Miehle, Christian. "Optimale Selektionsprozesse für True Sale Collateralised Loan Obligations /." Hamburg : Kovač, 2008. http://www.verlagdrkovac.de/978-3-8300-3522-0.htm.

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9

Shahin, Mahmoud. "Three essays on bank profitability, fragility, and lending." Thesis, University of Exeter, 2015. http://hdl.handle.net/10871/18675.

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We present three chapters on theoretical issues of banking. These deal with bank runs, risk sharing, lending and profitability. In the first chapter, we examine the agency problem in the bank-depositor relationship. Depositors are the principals and banks are the agents. Banks choose investment portfolios and are subject to moral hazard in that they have incentive to take on more risk than desirable to depositors because they are residual claimants. We study an incentive-compatible mechanism that prompts banks to follow a safe investment policy. This mechanism leaves the bank a profit margin in a similar manner to a CEO being paid a bonus by a company. In the second chapter, we extend Allen and Gale (1998) by adding a long-term riskless investment opportunity to the original portfolio of a short-term liquid asset and a long-term risky illiquid asset. Through portfolio diversification, we identify the risk-sharing deposit contract in a three-period model that maximizes the ex-ante expected utility of depositors. Unlike Allen and Gale, there are no information-based bank runs in equilibrium. In addition, our model can improve consumers' welfare over the Allen and Gale model. I also show that the bank will choose to liquidate the cheaper investments, in terms of the gain-loss ratios for the two types of existing long-term assets, when there is liquidity shortage in some cases. Such a policy reduces the liquidation cost and enables the bank to meet the outstanding liability to depositors without large liquidation losses. In the third chapter, we study the role of banks in providing loans to borrower firms. This paper extends the theory of designing optimal loan contracts (for profits) in the Bolton and Scharfstein (1996) model to a setting where asymmetry of information exists. Based on the verifiability of information structure, we analyze complete and incomplete contracts. Through this analysis, optimal, incentive-compatible loan contracts that maximize the expected profit of the bank are characterized. Our analysis suggests that a bank could be induced to liquidate a borrower's project under specific conditions. Furthermore, we identify implementable mechanisms for the renegotiation game given the bargaining power between a borrower and a bank.

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Shen, Pei-Men, and 沈佩旻. "Portfolio Selection of A Wealth Management Customer of C Bank." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/4p6zpm.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>106<br>Since the end of 2016, President Lin started to worry about his financial allocation and plans. The major investment models in those years of the President Lin are base on real estate investment and saving insurance. However, the weakness of the US dollar and real estate market in those years make President Lin need to reconsider about his own investment methods and contents. The financial products of Bank can be classified as fixed deposits, funds, structured products, overseas bonds, and foreign ETFs. How the President Lin can use these products to adjust his different financial allocations to ensure that the funds can maintain liquidity and safety but also have a good rate of return? This paper will provide three different investment model allocations. Using of different characteristics of financial products to adjust the proportion of funds and the length of investment time achieve to President Lin’s three major requirements: low capital risk, high liquidity, and acceptable rate.

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Books on the topic "Islamische Bank Portfolio Selection"

1

Hibbeln, Martin. Risk management in credit portfolios: Concentration risk and Basel II. Physica, 2010.

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Hibbeln, Martin. Risk Management in Credit Portfolios: Concentration Risk and Basel II. Physica, 2010.

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Office, General Accounting. Resolution Trust Corporation: Loan portfolio pricing and sales process could be improved : report to the Honorable Bruce F. Vento, House of Representatives. The Office, 1993.

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Book chapters on the topic "Islamische Bank Portfolio Selection"

1

Hunanyan, Gevorg. "Portfolio Selection." In Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management. Springer Fachmedien Wiesbaden, 2019. http://dx.doi.org/10.1007/978-3-658-27956-1_2.

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Spronk, J., and G. Zambruno. "Interactive Multiple Goal Programming for Bank Portfolio Selection." In Multiple Criteria Decision Methods and Applications. Springer Berlin Heidelberg, 1985. http://dx.doi.org/10.1007/978-3-642-70583-0_14.

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Gerstl, David S. "Applying Auctions to Bank Holding Company Software Project Portfolio Selection." In Economics of Grids, Clouds, Systems, and Services. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-13342-9_2.

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"Central-bank portfolio selection and stabilization policies." In Macroeconomic Policy Analysis. Cambridge University Press, 1989. http://dx.doi.org/10.1017/cbo9780511571862.006.

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Panja, Soma. "Heuristic Optimization of Portfolio Considering Sharpe's Single Index Model." In Metaheuristic Approaches to Portfolio Optimization. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-8103-1.ch008.

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Selection of weights of the selected securities in the portfolio is a cumbersome job for any investor. The famous nonlinear Sharpe's single index model has been simplified with a linear solution and the risk-taking propensity of the investors have been taken into consideration in the simplified formulation. The coefficient of optimism is included to observe the effect of risk-taking propensity in the portfolio selection. After the empirical analysis it is found that heuristically an investor can reach near to the optimum solution. For empirical analysis 126 months data have been considered of NSE Bank Index. To reduce the volatility of the data the whole period again has been divided into two parts each of 63 months duration, and separately the data pertaining to the three periods have been considered for calculation. The city block distance is used to calculate the nearness between the optimum solutions and the heuristic solutions.

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Lee, So-Jung, and Wing Lam. "Application Integration." In Electronic Business. IGI Global, 2009. http://dx.doi.org/10.4018/978-1-60566-056-1.ch073.

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This case describes a pilot project to implement a financial portfolio system (FPS) within Jwon Bank. (The case is based on a real-life organisation, although the identity of the organisation has been disguised at the organisation’s request.) A strategic IT review of Jwon Bank’s IT systems and architecture revealed that a lack of integration between IT systems was hampering the bank’s capability to meet its business vision. A key recommendation from the review was the development of an FPS that would enable customers to manage all their financial assets and access financial services from a single place. However, creating an FPS meant that Jwon Bank had to develop a strategic solution to meet the integration needs across the entire bank. Jwon Bank examined enterprise application integration (EAI) tools, and embarked on a pilot project to develop a prototype FPS and test the robustness of an EAI solution. The case highlights some of the management issues relating to integration projects of this nature, including strategic planning for integration, EAI tool selection and evaluation, and understanding of business process flow across divisional silos.

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Lee, S., and W. Lam. "Application Integration." In Enterprise Architecture and Integration. IGI Global, 2007. http://dx.doi.org/10.4018/978-1-59140-887-1.ch016.

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This case describes a pilot project to implement a financial portfolio system (FPS) within Jwon Bank. (The case is based on a real-life organisation, although the identity of the organisation has been disguised at the organisation’s request.) A strategic IT review of Jwon Bank’s IT systems and architecture revealed that a lack of integration between IT systems was hampering the bank’s capability to meet its business vision. A key recommendation from the review was the development of an FPS that would enable customers to manage all their financial assets and access financial services from a single place. However, creating an FPS meant that Jwon Bank had to develop a strategic solution to meet the integration needs across the entire bank. Jwon Bank examined enterprise application integration (EAI) tools, and embarked on a pilot project to develop a prototype FPS and test the robustness of an EAI solution. The case highlights some of the management issues relating to integration projects of this nature, including strategic planning for integration, EAI tool selection and evaluation, and understanding of business process flow across divisional silos.

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Viadrova, Inna, and Irina Bitner. "MODERN METHODS OF THE BANK`S INVESTMENT DEVELOPMENT BASED ON THE PAIR TRADING MODELS." In Priority areas for development of scientific research: domestic and foreign experience. Publishing House “Baltija Publishing”, 2021. http://dx.doi.org/10.30525/978-9934-26-049-0-5.

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The article deals with the problem of analysis of banking activity and modern methods of investment development of the bank based on pairs trading models. The essence of the pair trading method as one of the most popular and qualitative methods of investment paper quality analysis is disclosed. The basis of the pairing trading method is defined as the beta-neutral portfolio strategy, which consists of creating a portfolio with a beta coefficient equal to zero, and the main advantage of which is the complete independence of the final paper yield from the market yield, it is only dependent on the future ratio of the value of one security to another. For the successful introduction of this method in banking activity, a clear algorithm for the construction of a paired trading model based on economic-mathematical methods and models is proposed. The proposed algorithm contains three stages in which the following steps are to be taken: analysis and selection of securities; development of a pairing trading model; development and regulation of the selected strategy. The implementation of the proposed algorithm begins with the selection of statistical data on the prices of securities, provides for the verification of data on stationarity, as well as the identification of a system for combining series, and the analysis of coefficients of the matching between prices of securities. As a result of the steps taken, pairs of securities are selected that are more closely related and a full economic analysis of the pairs is made, and the parameters of co-integration equations to pairs of paper are selected, evaluated and analyzed then the errors of the co-integration model are checked for stationary. In the work models of pairs trading are constructed for the realization of an aggressive strategy of trade spreads. In order to build an effective strategy for pairing trading, data on prices of securities, which are the most attractive to Ukrainian banks, namely, US Treasury bonds, have been examined. The hypothesis being tested in the paper is that it is necessary to identify a pair of securities with a sufficiently strong dependency where one should have a rapid growth or decline relative to the other, after which the sale of the revalued security and the purchase of the undervalued security is mandatory. The study found that for each pair of Treasury bonds, the ratio was satisfactory. This indicates that the resultant securities pairs are suitable as an investment that, with a well-designed strategy, will allow the bank to obtain optimum returns. The final step of the algorithm is the analysis of the results obtained, which includes a comprehensive analysis of the conducted research and effective decision-making. The application of the proposed algorithm will allow banks to make informed decisions on the choice and regulation of the strategy in exchange market changes in order to obtain a low level of risk and a high level of profit.

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