Make the Best from Comparing Conventional and Islamic Asset Classes: A Design of an All-Seasons Combined Portfolio

This paper aims to contribute to the existing literature in portfolio management and strategy by investigating the performance, diversification, and hedging benefits arising from integrating Sharia-compliant stocks into a conventional portfolio. Thus, this paper tests the performance of a Combined Portfolio, resulting from the combination of conventional Islamic instruments, covering different macroeconomic scenarios in the last decade (2010–2020). The strategic asset allocation was designed following the Global Macro Anima (GMA) strategy, solving a risk-parity optimisation problem using a specifically developed MATLAB™ algorithm. The findings will contribute to answering the question related to the possibility of including alternative instruments to increase diversification with hedging benefits by building asset allocations that perform well across different macroeconomic scenarios.

Optimum of Strategic Asset Allocation for Indonesian Hajj Fund

Hajj fund must be managed effectively with a diligent approach of standard risk management. This study examines the level of risk management The Hajj Fund Management Agency (BPKH) performs in optimizing its investments: fund and fixed asset portfolios. The measurement data was initially and purposively retrieved. It was later run and processed through linear programming for further analyses. The results indicate that Sharia banking deposits and gold are riskless assets. As far as other asset portfolios, investments are placed strictly based on direct and indirect participation according to the government's regulations to avoid the pressures of market volatility. This study serves as a reference for regulators in formulating appropriate strategic asset allocation to applied related optimized management of hajj fund investment.JEL Classification: C44, C51, C58, C61, D81, E22, E47How to Cite:Witjaksono, B., & Hamzah. (2021). Optimum Strategic of Asset Allocation for Indonesian Hajj Fund. Signifikan: Jurnal Ilmu Ekonomi, 10(2), 195-208. https://doi.org/10.15408/sjie.v10i2.20020.

Multicriteria asset allocation in practice

In this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as objectives. However, recent developments in the field of insurance require four and more objectives to be considered, among them the so-called solvency ratio that stems from the Solvency II directive of the European Union issued in 2009. Moreover, the distance to the current portfolio plays an important role. While the literature on portfolio optimization with three objectives is already scarce, applications in the financial context with four and more objectives have not yet been solved so far by multi-objective approaches based on scalarizations. However, recent algorithmic improvements in the field of exact multi-objective methods allow the incorporation of many objectives and the generation of well-spread representations within few iterations. We describe the implementation of such an algorithm for a strategic asset allocation with four objective functions and demonstrate its usefulness for the practitioner. Our approach is in operative use in a German insurance company. Our partners report a significant improvement in their decision-making process since, due to the proper integration of the new objectives, the software proposes portfolios of much better quality than before within short running time.