Stochastic Portfolio Optimization and Market Behavior: A Comparative Study of Islamic and Developed Equity Indices

Abstract

This paper aims to comprehensively compare the risk-return profiles of Islamic and conventional equity markets, providing valuable insights into the financial performance of stock market indices in Islamic countries as compared to those in developed nations. The objective is to delve into the intricate dynamics of these markets, shedding light on how they respond to various economic and financial factors. By focusing on the performance metrics of stock market indices in both Islamic and developed countries, this study intends to analyze not only the overall returns generated but also the associated risks involved. In doing so, it seeks to unearth the nuances in investment opportunities, uncovering potential patterns of divergence or convergence between these two market segments. Furthermore, this research endeavors to discern how different economic and regulatory environments impact these markets, contributing to a more profound understanding of global investment.