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This is a Quantitative Study study.

Portfolio Optimization using Shariah-Compliant Asset Pricing Model in Indonesia

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Quantitative analysis reveals optimized portfolios in the Islamic capital market, suggesting effective risk management approaches.

The study identifies four optimal portfolios that maximize the Sharpe ratio while considering investor risk preferences.
Using a Kendall W concordance test, the portfolios showed a very high level of conformity for return, risk, and performance.
Implementation of the Shariah-Compliant Asset Pricing Model in the Jakarta Islamic Index provided meaningful insights from January 2011 to December 2018.
Portfolios 1 and 3 exhibit similar efficiency, outperforming Portfolio 2, highlighting the impact of risk preferences.

Qudratullah et al. (2025) studied this question.

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